Research on Value at Risk of Carbon Emission Trading
2010
Hochschulschrift
Zugriff:
98
To realize the risk characteristics, this study applies ARCH family models on the returns of Carbon Emission Trading during April 22, 2005 to December 31, 2009 ECX EUA futures, and during December 12, 2003 to February 12, 2010 CCX CFI transaction data for sample, Using ARCH model, GARCH model, EGARCH model and TGARCH model. this study investigates current risk of Carbon Emission Trading, then estimates Value at Risk by current risk. The variables are prior residual, prior variance, unexpected change shock, bad or good news and expected change strength. In the final step, the Back Testing is used to evaluate the accuracy of VaR conducted by the optimal model(TGARCH). The results are as follows:(1)From the consequence of the four models, current risk is affected by prior residual, prior variance, unexpected change shock, bad or good news and expected change strength. (2) From the result of AIC and SBC, EGARCH and TGARCH models are better than GARCH and ARCH models. (3) From the estimation of VaR, TGARCH is more fitted than others. (4) VaR of CCX CFI is US$262.5. It has 5% of penetration, 2.11 of LR value and pass back test;VaR of ECX EUA is €$371.25. It has 8.33% of penetration, 1.89 of LR value pass back test, too.
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Research on Value at Risk of Carbon Emission Trading
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Autor/in / Beteiligte Person: | Lin, Hsing-Chu ; 林幸諸 |
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Veröffentlichung: | 2010 |
Medientyp: | Hochschulschrift |
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