Risk Measurement And Cluster Analysis Of Price Fluctuation In China’s Carbon Market

With the continuous development and utilization of fossil energy in global economy and society,the greenhouse effect is gradually significant,which seriously affects the sustainable development of economy and society.In 1997,many countries adopted the Kyoto Protocol to promote energy conservation and emission reduction in enterprises through market-based means,thus activating the global carbon emission trading market.As a big emitter of carbon energy saving and emission reduction potential,carbon trading market gradually developed.On July 16,2021,the national carbon emission trading market officially opened,which is expected to become the largest carbon market in the world.However,China’s carbon trading market is still in its infancy,and problems such as unbalanced regional development and multiple risk factors in the carbon trading market are still serious.In particular,the risk of carbon price volatility is particularly prominent,and the impact of the external impact of the start of the national carbon market on the market volatility is also unknown.In this regard,an in-depth study of the price fluctuation risk and regional differences before and after the launch of the national carbon market is not only conducive to improving the risk management theory,but also to promoting the risk regulation of the carbon trading market and contributing "China’s strength" to the realization of peak carbon neutrality.Firstly,this paper introduces the research background and significance,and proposes the research ideas and innovations of this paper by combing the domestic and foreign research reviews.On the level of theoretical model analysis,this paper introduces the concept of VaR and CVaR,the advantages and disadvantages,the classification of GARCH family model,risk measurement method,back test and cluster analysis.In terms of empirical analysis,in order to explore the impact of the launch of the national carbon market on risk volatility characteristics,this paper takes the launch date of the national carbon market as the time node to divide sample data.On the one hand,the yield volatility characteristics of each carbon market are extracted for cluster analysis,so as to compare and analyze the similarity of yield volatility characteristics among carbon markets.On the other hand,The VaR method and CVaR method based on GARCH family model are used to explore the risk degree,trend and causes of each carbon market.The empirical results show that:(1)Although the launch of the national carbon market will cause short-term price fluctuations,the impact is not significant in the long run.Compared with before the launch,the impact attenuation speed is accelerated,the market activity is enhanced,and the impact of the heterogeneity of external environment on the carbon price fluctuations is higher than the effect of the internal market mechanism.(2)After the launch,the asymmetric effect of Beijing and Hubei carbon markets becomes insignificant,and Shenzhen carbon market becomes "anti-leverage effect";(3)After the launch,the return of Shanghai carbon market has a positive risk premium,and investors require the highest risk return,while the Beijing carbon market does not have a significant risk premium,and the carbon markets of Guangdong and Shenzhen still have a positive risk premium.(4)The carbon markets in Beijing and Hubei are highly similar before and after the launch of the national carbon market,and the yield fluctuation characteristics of each carbon market gradually converge.(5)Before and after the launch of the national carbon market,it is generally seen that the GARCH-GED model has the best effect on the measurement of price volatility risk.(6)With the launch of the national carbon market,the impact of the implementation mechanism on the seasonal fluctuation of risk tends to be moderated.The fluctuation range of extreme risk in the carbon markets of Beijing,Shanghai and Hubei decreases,while that in the carbon markets of Guangdong and Shenzhen increases continuously.Based on the above research conclusions,this paper puts forward suggestions on improving the trading mechanism and risk control mechanism of carbon market and innovating carbon financial products.