Research On The Fluctuation Characteristics Of Chinese Carbon Market Price Based On SV Model

Environmental problems caused by excessive carbon emissions are one of the major problems in China’s sustainable development.The birth of the carbon trading market can effectively reduce the cost of social emission reduction,thereby achieving the goal of controlling carbon dioxide emissions,accelerating technological progress and promoting the upgrading of industrial structure.At present,China is actively building a national unified carbon market,and is expected to become the world’s largest carbon trading market.For the emerging carbon financial market,studying the price fluctuations of carbon allowances is a key point for the stable development of the carbon market,and helps us to fully understand the operation of the carbon emissions trading market.Based on the stochastic volatility model theory,this paper studies the five pilot provinces and cities-Shenzhen,Hubei,Guangdong,Shanghai,and Beijing carbon markets that are most active in China’s pilot carbon market.The SV-N model,SV-T model,SV-M model and SV-L model were used to fit the data and the MCMC method was used to estimate the parameters.In addition,the DIC criterion is used to compare the data simulation capabilities of the four types of SV models,and the MCS test and the loss function are used to compare the volatility prediction capabilities of the models.The empirical results show that there are obvious differences in price fluctuations in the five pilot carbon markets,and the yield series have the characteristics of"spikes and thick tails",and there are varying degrees of leverage effects.There are anti-leverage effects in the price fluctuations of Hubei and Guangdong carbon markets There are positive leverage effects in the price fluctuations of the Shenzhen,Shanghai and Beijing carbon markets.Besides,in the price fluctuations of the five carbon markets,the fluctuations have different degrees and directions of impact on expected returns.The fluctuations in the carbon markets of Hubei,Shanghai and Beijing have a positive impact on the expected rate of return,and the fluctuations in the carbon markets of Shenzhen and Guangdong have a negative effect on the expected rate of return.According to the data simulation ability of the model,the best performance is the SV-L model,and the ranking is SV-N model,SV-M model,and SV-T model.From the perspective of volatility prediction,the SV-L model has the best volatility prediction effect.Finally,based on the empirical results,we provide policy recommendations for the construction and development of a unified national carbon market.