Empirical Research On The Yield Volatility Of China's Green Bond Index Based On ARMA-GARCH And SVAR Model

Environmental issues have gradually attracted every country's sttention.In 2003,the release of "Equator Principles" brought the concept of green finance into the capital market,and the green bond market developed rapidly.Under the blueprint of "Double Carbon"target,China's green bond market has been more and more prosperous,and the green bond market is moving towards regularization of regulation and diversification of products.At present,green bond products can be divided into labeled green bond and non-labeled green bond according to different information disclosure requirements.In order to promote green bond credit risk evaluation efficiency and enrich the evaluation indexes,green bond indexes are compiled.In this context,combining ARMA-GARCH and SVAR model,this paper illustrates the differences between the yield volatility of China's labeled green bond index and unlabeled green bond index respectively,makes comparison,draws corresponding conclusions and gives investment and policy suggestions.This paper analyzes the development of green bond and green bond indexes,particularly focus on the financial time series volatility research paradigm of the method and the influence factors of bond prices,innovative SVAR model to ARMA-GARCH model,comparison analysis on the yield volatility of germ bond index from information disclosure pespective is included,which enriches the research methods of information disclosure and improves the financial time series prediction model.We select the points from March 20,2017 to December 31,2021 of CUFE-CNI High-grade labeled Green Bond index and non-labeled green bond index as samples,observe how the two indexes move by constructing an ARMA-GARCH model,and fit the model that can summarize their volatility.Subsequently,the above two index respectively,and the observed value of CNY against USD parity rate,Shibor overnight call rates,the Shanghai Composite Index,national and corporate bond index at the same time interval,which represent the indicators of the interest rate statistics,the stock market statistics and the bond market statistics alternatively.An SVAR model is set to explore different market factor influence on bond index fluctuation,Analysis of bond index fluctuation causes.Finally,this paper acquires the following conclusions.Both labeled green bond index and unlabeled green bond index can obtain their volatility fitting model through the modeling of ARMA-GARCH model,which has acquired satisfactory results,and the forecasting index of labeled green bond index shows better performance.At the same time,there is no significant leverage effect in both fluctuations,that is,asymmetry;Secondly,the labeled green bond index and the unlabeled green bond index are in a short-term rising state,but have not reached the peak at present,and there is still a certain rise space in the future.Third,although the overall fluctuation rules of labeled green bond index and unlabeled green bond index are intrinsically consistent,the causes of volatility are slightly different.In terms of investment decisions,the overall risk of green bonds is relatively stable,and the current trend is still rising with high investment value.However,the influence of the stock market should be taken into consideration when investing in non-labeled green bonds.In terms of policy suggestions,green bond certification standards should be more strict and relative system should be unveiled,promoting the "labeling" of non-labeled green bonds.Simultaneously,it is necessary to be cautious of green risks such as the "Green Swan",improve the green bond index compilation,and establish a green financial risk early-warning mechanism to avoid green financial risk contagion.