Villar-Rubio Elena, Huete-Morales María-Dolores, Galán-Valdivieso Federico
Department of Applied Economics. Faculty of Economics and Business, University of Granada, Campus La Cartuja, 18071 Granada, Spain.
Department of Statistic and Operational Research, Faculty of Labour Sciences, University of Granada, Campus La Cartuja, 18071 Granada, Spain.
J Environ Stud Sci. 2023 May 11:1-10. doi: 10.1007/s13412-023-00838-5.
The growing interest and direct impact of carbon trading in the economy have drawn an increasing attention to the evolution of the price of CO2 allowances (European Union Allowances, EUAs) under the European Union Emissions Trading Scheme (EU ETS). As a novel financial market, the dynamic analysis of its volatility is essential for policymakers to assess market efficiency and for investors to carry out an adequate risk management on carbon emission rights. In this research, the main autoregressive conditional heteroskedasticity (ARCH) models were applied to evaluate and analyze the volatility of daily data of the European carbon future prices, focusing on the last finished phase of market operations (phase III, 2013-2020), which is structurally and significantly different from previous phases. Some empirical findings derive from the results obtained. First, the EGARCH (1,1) model exhibits a superior ability to describe the price volatility even using fewer parameters, partly because it allows to collect the sign of the changes produced over time. In this model, the Akaike information criterion (AIC) is lower than ARCH (4) and GARCH (1,1) models, and all its coefficients are significative ( < 0.02). Second, a sustained increase in prices is detected at the end of phase III, which makes it possible to foresee a stabilization path with higher prices for the first years of phase IV. These changes will motivate both companies and individual energy investors to be proactive in making decisions about the risk management on carbon allowances.
碳排放交易在经济领域日益增长的关注度及其直接影响，使得人们越来越关注欧盟排放交易体系（EU ETS）下二氧化碳排放配额（欧盟配额，EUAs）价格的演变。作为一个新型金融市场，对其波动性进行动态分析对于政策制定者评估市场效率以及投资者对碳排放权进行充分风险管理而言至关重要。在本研究中，主要的自回归条件异方差（ARCH）模型被用于评估和分析欧洲碳期货价格的日数据波动性，重点关注市场运作的最后一个完成阶段（第三阶段，2013 - 2020年），该阶段在结构上与先前阶段有显著差异。从所得结果得出了一些实证发现。首先，EGARCH(1,1)模型即使使用较少参数也表现出卓越的描述价格波动性的能力，部分原因在于它能够捕捉随时间产生的变化的符号。在该模型中，赤池信息准则（AIC）低于ARCH(4)和GARCH(1,1)模型，并且其所有系数均具有显著性（<0.02）。其次，在第三阶段末期检测到价格持续上涨，这使得有可能预见第四阶段头几年价格更高的稳定路径。这些变化将促使企业和个体能源投资者积极主动地就碳排放配额的风险管理做出决策。
