Empirical Study On Carbon Price Based On GARCH Model

With the development of economy and society,the problem of air pollution is becoming more and more serious in China,Therefore,in the domestic market,China has actively responded to the carbon emission reduction system,established 7 carbon trading pilot cities before and after,and established a unified carbon trading market in China at the end of 2017.In the international market,China is actively undertaking emission reduction obligations.In the provisions of international rules and regulations,compulsory emission reduction for developed countries and the need for economic development of developing countries have not been taken into account.However,China,as the country with the largest carbon emissions in the world,has an unshirkable responsibility and obligation to reduce carbon emissionsTherefore,this paper mainly discusses the mechanism setting of China's carbon trading market in recent years as well as the development process of China's carbon trading market and the innovation and development of carbon trading market.It also discusses the types and contents of the carbon trading market,and provides some suggestions for the improvement of the future carbon trading market.Secondly,based on the study of carbon financial derivatives,especially carbon financial options,the importance of the development of carbon financial options and the role they play in the market are analyzed and discussed.It is helpful to activate the carbon trading market and mobilize the enthusiasm of the participants in the carbon trading market,especially for the pricing of carbon options.The function of market price discovery can better avoid market risks,improve the liquidity of carbon products in the market,and promote the healthy and orderly development of the whole carbon trading market.This paper first carries out a certain theoretical study:the main factors affecting the internal and external factors of carbon financial products are analyzed,mainly from the perspective of supply and demand,the angle of the first energy price,the macro and micro economic angle and the national policy distribution angle.Some examples of carbon financial innovation are analyzed and the carbon financial market is divided accordingly.Secondly,from the perspective of empirical analysis,the carbon transaction price data of Beijing region from November 25,2013 to April 7,2017 are selected from the China carbon emission trading network(http://www.tanpaifang.com/),which is taken as the sample.The object of this study is to test the data.At present,most researchers use the Black-Scholes model for empirical analysis.The Black-Scholes model assumes that the price follows the random walk and the rate of return obeys the normal distribution,which does not conform to the carbon trading market and can not fit well.Therefore,the GARCH model is introduced in this paper.In the study,the GARCH model does not require the premise that the price is independent and the rate of return obeys the normal distribution.It is used to verify the characteristics of the carbon asset price with peak,thick tail,heteroscedasticity and agglomeration volatility.According to the analysis of the volatility of the rate of return,and using the fractal Brown movement to estimate the parameters of the carbon option pricing,it provides a basic research for the future study of carbon option trading.