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Open AccessArticle

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

by Jilin Zhang 1 and Yukun Xu 2,*
1
Data Analysis & Research Center, Fujian University of Technology, Fuzhou 350118, China
2
Research Center of Internet Finance and Blockchain, Fujian University of Technology, Fuzhou 350118, China
*
Author to whom correspondence should be addressed.
Sustainability 2020, 12(10), 4249; https://doi.org/10.3390/su12104249
Received: 23 March 2020 / Revised: 5 May 2020 / Accepted: 11 May 2020 / Published: 22 May 2020
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. View Full-Text
Keywords: carbon emissions; carbon price; GARCH model; sustainable development carbon emissions; carbon price; GARCH model; sustainable development
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MDPI and ACS Style

Zhang, J.; Xu, Y. Research on the Price Fluctuation and Risk Formation Mechanism of Carbon Emission Rights in China Based on a GARCH Model. Sustainability 2020, 12, 4249.

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