scholarly journals Research on the Price Fluctuation and Risk Formation Mechanism of Carbon Emission Rights in China Based on a GARCH Model

2020 ◽  
Vol 12 (10) ◽  
pp. 4249 ◽  
Author(s):  
Jilin Zhang ◽  
Yukun Xu
Keyword(s):  
Carbon Emission ◽  
Garch Model ◽  
Statistical Characteristics ◽  
Mature Stage ◽  
Formation Mechanisms ◽  
Economic Downturn ◽  
Conditional Heteroskedasticity ◽  
Price Fluctuation ◽  
Price Series ◽  
Emission Rights

This paper examines the price of carbon emission rights published by the China Emissions Exchange (Shenzhen), analyzes the statistical characteristics of the price series and uses a generalized autoregressive conditional heteroskedasticity (GARCH) model to describe the price fluctuation of carbon emission rights and risk formation mechanisms. The study shows the following results: since 2013, China’s carbon emission rights prices have become more stable. The fluctuation of yield has gradually decreased and the market has approached a more mature stage. However, after 2018, due to factors such as the economic downturn and insufficient market information, the amplitude of price fluctuations has started to rise while frequency is increasing, which shows an asymmetry trend. The market trading risk is accumulating constantly.

scholarly journals Research on the Correlation Between WTI Crude Oil Futures Price and European Carbon Futures Price

2021 ◽  
Vol 9 ◽  
Author(s):  
Zhengwei Ma ◽  
Yuxin Yan ◽  
Ruotong Wu ◽  
Feixiao Li
Keyword(s):  
Crude Oil ◽  
Carbon Emission ◽  
Mutual Effect ◽  
Futures Prices ◽  
Price Fluctuation ◽  
Oil Futures ◽  
Sea Levels ◽  
Crude Oil Futures ◽  
Futures Price ◽  
Emission Rights

In recent years, the rapid increase in CO2 concentration has accelerated global warming. As a result, sea levels rise, glaciers melt, extreme weather occurs, and species become extinct. As the world’s largest CO2 emission rights trading market, EU Emissions Trading System (EU-ETS) has reached 1.855 billion tons of quotas by 2019, influencing the development of the global carbon emission market. Crude oil, as one of the major fossil energy sources in the world, its price fluctuation is bound to affect the price of carbon emission rights. Therefore, this paper aims to reveal the correlation between crude oil futures prices and carbon emission rights futures prices by studying the price fluctuation. In this paper, the linkage between West Texas Intermediate (WTI) crude oil futures prices and European carbon futures prices was investigated. In addition, this paper selects continuous data of WTI crude oil futures prices and spot prices with European carbon futures prices from January 8, 2018 to November 27, 2020, and builds a smooth transformation regression (STR) model. The relationship between crude oil futures and carbon futures prices is studied in both forward and reversal linkage through empirical analysis. The results show that crude oil futures prices and carbon futures prices have a mutual effect on each other, and both linear and nonlinear correlations between the two prices exist. Based on the results of this research, some suggestions are provided.

scholarly journals Nonlinear Dynamics of International Gold Prices: Conditional Heteroskedasticity or Chaos?

2014 ◽  
Vol 2 (5) ◽  
pp. 411-427 ◽  
Author(s):  
Xiaowei Huang ◽  
Mei Yu ◽  
Chengwei Ban
Keyword(s):  
Long Memory ◽  
Garch Model ◽  
Gold Price ◽  
Nonlinear Dependence ◽  
Largest Lyapunov Exponent ◽  
Conditional Heteroskedasticity ◽  
Initial Value ◽  
Nonlinear Characteristics ◽  
Price Series ◽  
Bds Test

AbstractTaking the special nonlinear characteristics of the domestic and international gold price into account, this paper systematically analyzed its nonlinearity by the methods of BDS test, R/S analysis and improved largest Lyapunov exponent. We find three main results: (1) ARMA-GARCH model could adequately explain the linear and nonlinear dependence of gold price series; (2) long-memory does not exist anymore in price series explained by ARMA-GARCH model; (3) chaos phenomenon which is sensitive to the initial value does not exist either in the residuals of regression model. Therefore, we believe that the nonlinearity of gold price is mainly characterized in conditional heteroscedasticity rather than chaos.

The pilot trading of carbon emission rights and upgrading of industrial structure

2020 ◽  
Vol 68 (1/2) ◽  
pp. 82
Author(s):  
Dongsheng Zhao ◽  
Yu Ma ◽  
Huaiwen Zhang ◽  
Xinyu Wang
Keyword(s):  
Carbon Emission ◽  
Industrial Structure ◽  
Emission Rights

scholarly journals Strategies for Capital Constrained Timber and Carbon Sink Supply Chain under the Cap-and-Trade Scheme

2020 ◽  
Vol 12 (11) ◽  
pp. 4380
Author(s):  
Xinyue Yang ◽  
Ye Song ◽  
Mingjun Sun ◽  
Hongjun Peng
Keyword(s):  
Supply Chain ◽  
Emission Reduction ◽  
Carbon Emission ◽  
Carbon Sink ◽  
Cap And Trade ◽  
Stackelberg Model ◽  
Emission Rights ◽  
The Government ◽  
The Impact ◽  
Reduction Costs

We consider a capital constrained timber and carbon sink supply chain under the cap-and-trade scheme, where the forest company produces timber and carbon sink. We consider two subsidy modes: financing subsidy to the carbon sink forests and financing subsidy to the manufacturer’s emission reductions. We apply a Stackelberg model and mainly consider the impact of subsidies on the profits and the strategies of the supply chain members. The results show that when the government gives a financing subsidy to the carbon sink forests, it is conducive to promoting the expansion of carbon sink forests, as well as the enhancement of the forest company’s profit. However, a larger supply of carbon sinks generates a lower price, which leads to the manufacturer reducing the technical emission reduction level and purchasing more carbon emission rights instead. On the other hand, when the manufacturer receives a financing subsidy for the technical emission reduction costs, its production becomes cleaner than before, and the profits of the forest company and the manufacturer increase.

scholarly journals Bad Friday, Monday Effect and Political Issue: Application of ARCH-GARCH Model to Analyze Seasonal Pattern of Stock Return

2018 ◽  
Vol 7 (3.30) ◽  
pp. 38
Author(s):  
Maria Rio Rita ◽  
Sugeng Wahyudi ◽  
Harjum Muharam
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Stock Return ◽  
Seasonal Pattern ◽  
Garch Model ◽  
Statistical Characteristics ◽  
Political Issue ◽  
Political Issues ◽  
Monday Effect ◽  
The Garch Model

At the end of 2016, Indonesia was shaken by a demonstration of the election of the Governor of Jakarta Capital Special Region and political issues related to religious defamation. Does this condition have an impact on stock prices and returns? The aim of this study is to test the week day pattern in IDX using LQ-45 stocks during selected observation period of August 2016-January 2017. Then a GARCH model is used to investigate the presence of week day pattern in the stock market. Therefore, the GARCH model is able to describe observed statistical characteristics of many time series of financial assets return. The test results show that there is a difference in average stock return during the trading day. The lowest and the highest return are observed on Monday and Wednesday, respectively. Meanwhile, the average negative return on Friday is not proven to significantly drive the occurrence of Monday effect. Return on Monday is influenced by the frequency of trading, not by trading volume. Is there anything to do with the psychological aspect of investors solely in assessing risk acceptance to stocks? Research agenda related to this is very relevant to do in the future.  

scholarly journals SPILLOVER EFFECT INFLASI DAGING SAPI ANTAR KOTA: APLIKASI METODE BEKK-GARCH UNTUK JAKARTA, SALATIGA, DAN SURABAYA

2020 ◽  
Vol 13 (1) ◽  
pp. 80-91
Author(s):  
Ribut Nurul Tri Wahyuni ◽  
Nasrudin Nasrudin
Keyword(s):  
Spillover Effect ◽  
Garch Model ◽  
Internal Factors ◽  
Price Fluctuation ◽  
News Effects

Beef consumption in Indonesia tends to increase and its price fluctuates. In addition to internal factors, the volatility of beef inflation can also be influenced by other regions (spillover effect). Using BEKK-GARCH model, we try to show spillover effect the volatility of beef inflation in Jakarta, Salatiga, and Surabaya. The transmissions of news effects occur from Jakarta and Surabaya to Salatiga and from Jakarta and Salatiga to Surabaya. Transmission of two-way volatility occurs between Jakarta and Surabaya. Furthermore, the transmission of one-way volatility occurrs from Jakarta to Salatiga. Price fluctuation in consumer areas will be followed by price fluctuation in other consumer areas and producer areas. Therefore, controlling beef inflation should be began from consumer areas.

A Novel Adaptive Integrated Navigation Filtering Method Based on ARMA/GARCH Model

2013 ◽  
Vol 462-463 ◽  
pp. 259-266
Author(s):  
Xin Zhao ◽  
Hong Lei Qin ◽  
Li Cong
Keyword(s):  
Moving Average ◽  
Garch Model ◽  
Main Idea ◽  
Arma Model ◽  
Statistical Characteristics ◽  
Autoregressive Moving Average ◽  
Integrated Navigation ◽  
Conditional Mean ◽  
Filtering Method ◽  
Residual Series

This paper proposes a novel adaptive integrated navigation filtering method based on autoregressive moving average (ARMA) model and generalized autoregressive conditional heteroscedasticity (GARCH) model. The main idea in this study is to employ ARMA/GARCH model to estimate statistical characteristics of filtering residual series online, namely, the conditional mean and conditional standard deviation, and then the filter parameters are adaptively adjusted based on forecasted results of ARMA/GARCH model in order to improve the reliability of the system when there are abnormal disturbance and other uncertain factors in real condition. On this basis, experiment is used to verify the validity of the method. The simulation results demonstrate that the ARMA/GARCH model can well capture the unusual condition of GPS receiver output, and this adaptive filtering method can effectively improve the reliability of the system.

scholarly journals Morphology, internal architectures and formation mechanisms of mega-pockmarks on the northwestern South China Sea margin

2021 ◽  
pp. 1-67
Author(s):  
Yintao Lu ◽  
Xiaoyong Xu ◽  
Xiwu Luan ◽  
Shu Jiang ◽  
Weimin Ran ◽  
...  
Keyword(s):  
South China Sea ◽  
South China ◽  
Seismic Data ◽  
Middle Miocene ◽  
Mature Stage ◽  
Formation Mechanisms ◽  
Three Dimension ◽  
Plan View ◽  
China Sea ◽  
Fluid Seepage

Pockmarks, as depression morphology related to fluid escape on the seafloor, are revealed by three-dimension (3D) seismic data on the northwestern South China Sea (SCS) margin. The pockmarks can be classified into two groups by their various shapes in plan-view, which are circular group and elongating group. These pockmarks in the study area could be defined as mega-pockmarks, as their maximum diameters can reach to 7.5 km. They commonly develop more than one crater, which are central crater and secondary crater. The seismic data illuminated their complicated internal architectures in the subsurface, as well as their evolution periods, such as initiation stage, mature stage and abandonment stage. According to the buried structures and their genesis mechanism, the mega-pockmarks could be classified into linear faults-associated pockmarks and volcano-associated pockmarks. The linear faults-associated pockmarks root on the top Middle Miocene, where the linear faults distribute. The linear faults on the top of fluid reservoir in Middle Miocene act as conduits for fluid seepage. The fluid seepage is driven by the break of balance between the hydrostatic and pore pressure. When the fluid seepage initiate, they will migrate along the linear faults, making the linear feature of pockmarks on the seafloor. Both thermogenic gas from deep intervals and biogenic gas in shallow intervals may be fluid source for the genesis of pockmarks. On the other hand, the volcanic activities control the genesis and evolution of volcano-associated pockmarks. The volcano-associated pockmarks root on the craters of volcanoes. The volcanoes underneath the pockmarks provide volcanic hydrothermal solutions, such as phreatomagmatic eruptions through the volcanic craters. The confined fluid seepages make the pockmarks on exhibiting more circular shape on the seafloor. Long-term, multi-episode fluid expulsions generate the complicated internal architecture that leads to multi-cratered mega-pockmarks on the northwestern margin of SCS.

scholarly journals Distribution of carbon emission rights in China based on equity perspective

资源科学 ◽  
2019 ◽  
Vol 41 (10) ◽  
pp. 1801-1813
Author(s):  
Chao YANG ◽  
Lijun WU ◽  
Jiangfeng LI ◽  
Tianneng HUANG ◽  
Keyword(s):  
Carbon Emission ◽  
Emission Rights ◽  
Equity Perspective
Sign in / Sign up

Export Citation Format

Share Document