Research On Price Fluctuation Risk Measurement Of China’s Carbon Trading Market Based On T-GARCH-VaR Model

At present,environmental problems such as global warning have greatly affected people’s normal work and life.With the signing of the Kyoto Protocol,countries around the world began to advocate energy conservation and emission reduction,calling on the whole international community to pay attention to climate change and explore positive and effective ways to reduce carbon emissions.As the largest carbon emission country,the construction and implementation of carbon emission trading market system plays an important role in promoting the upgrading of industrial structure and improving environmental quality.The construction of China’s carbon trading market started late,the types and trading methods of carbon financial trading products are relatively single,and the market supporting facilities are not perfect,so the financial risk fluctuations are more intense.Fully understanding the importance of carbon financial risk identification and management,studying and measuring the fluctuation risk of China’s carbon financial market,and implementing targeted carbon financial risk prevention countermeasures can effectively improve the operation efficiency of China’s carbon financial market.This paper expounds the operation mechanism and market fluctuation risk of major foreign carbon trading systems such as the European Union and the United States,expounds in detail the development status and fluctuation risk of China’s carbon market,and analyzes in detail the reasons for the fluctuation risk of China’s carbon trading market.On the basis of theoretical analysis,the carbon spot data of five representative carbon trading markets such as Beijing,Shanghai,Guangdong,Shenzhen and Hubei are selected to process the yield data,analyze the statistical characteristics and test the stability.The T-GARCH model,which is most suitable for VaR risk measurement,is used to measure the volatility risk of carbon trading market.Based on the results of empirical analysis,this paper studies the causes of risk from the perspectives of risk fluctuation persistence,risk fluctuation trend,return fluctuation range,risk fluctuation cluster effect and VaR value fluctuation.There are obvious differences in the degree of risk fluctuation in the five pilot markets,and the consistency between the persistence of risk fluctuation and the trend of risk fluctuation is not good;There is no obvious synchronous change between the persistence of risk volatility and the cluster effect of risk volatility;There is obvious synchronization between risk volatility cluster effect and VaR volatility.