武汉大学学报：哲学社会科学版
武漢大學學報：哲學社會科學版
무한대학학보：철학사회과학판
Wuhan University Journal (Philosophy & Social Sciences)
2015年
2期
86~93
,共null页
区域碳金融 异方差 ARCH族 VaR 统一碳市
區域碳金融 異方差 ARCH族 VaR 統一碳市
구역탄금융 이방차 ARCH족 VaR 통일탄시
regional carbon market; heteroscedasticity; ARCH; VaR; unified national carbon market
市场风险是区域碳金融交易风险的突出风险。通过异方差表示各区域碳市的极端风险;用GARCH（1,1）、ARCH（1）代表的ARCH族模型下的参数估计得到不同碳交易所对价格冲击的不同衰减速度;通过ARCH族类模型计算每天的VaR代表碳金融市场的市场风险。结果表明：不同碳交易所的极端风险、价格冲击的衰减速度、VaR的统计特征及模型估计的准确性有较大差异,对分区域风险监控提出了更多的挑战。应当构建全国统一的碳交易市场,以防控风险并保持碳交易市场的稳定发展。
市場風險是區域碳金融交易風險的突齣風險。通過異方差錶示各區域碳市的極耑風險;用GARCH（1,1）、ARCH（1）代錶的ARCH族模型下的參數估計得到不同碳交易所對價格遲擊的不同衰減速度;通過ARCH族類模型計算每天的VaR代錶碳金融市場的市場風險。結果錶明：不同碳交易所的極耑風險、價格遲擊的衰減速度、VaR的統計特徵及模型估計的準確性有較大差異,對分區域風險鑑控提齣瞭更多的挑戰。應噹構建全國統一的碳交易市場,以防控風險併保持碳交易市場的穩定髮展。
시장풍험시구역탄금융교역풍험적돌출풍험。통과이방차표시각구역탄시적겁단풍험;용GARCH（1,1）、ARCH（1）대표적ARCH족모형하적삼수고계득도불동탄교역소대개격충격적불동쇠감속도;통과ARCH족류모형계산매천적VaR대표탄금융시장적시장풍험。결과표명：불동탄교역소적겁단풍험、개격충격적쇠감속도、VaR적통계특정급모형고계적준학성유교대차이,대분구역풍험감공제출료경다적도전。응당구건전국통일적탄교역시장,이방공풍험병보지탄교역시장적은정발전。
Market risks are the prominent risks of the regional carbon market. In this paper,heteroscedasticity is used to represent the extreme risk of the regional carbon market. Different rate of decay to price shocks is get through estimated parameters which are computed by ARCH models,represented by GARCH（ 1,1） and ARCH（ 1） model.Daily VaR（ Value at Risk）,on behalf of the carbon market risks,are calculated through ARCH models.The results indicate that,extreme risk and the rate of decay to carbon price shocks as well as the VaR are all different in different regional carbon market,which is large challenge to monitor risks.So the government should consider to build a unified national carbon market to guard against the risks and maintain the stability of the carbon trading market.
