期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2009
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：In this paper we study the short term price behavior of December 2008 future
prices for EU emission allowances. We model returns and volatility dynamics of
this price showing that a standard ARMA-GARCH framework is not adequate and
that the gaussianity assumption is rejected due to the occurrence of a number of
level and volatility outliers. To improve the fitness of the model, we combine the
underlying price process with an additive stochastic jump process. The resulting
distribution, a mixture of Gaussians, allows for endogenously determined jumps in
the process governing the returns, while the mixing law determines the jump
probability. The performance of the model is improved by introducing a time
varying jump probability explained by two variables. The first one is the daily
relative change in the volume of transactions and suggests that sharp increases in
volume increase volatility even in the absence of changes in what recent literature
considers as market fundamentals. The second one accounts for changes in the
jump probability associated to the European Commission's announcements
regarding the NAPs for Phase II. We find that announcements concerning the
NAPs induce jumps in the process and tend to increase volatility. This result
suggests authorities should advocate to increase stability in the regulatory
environment which is crucial to allow traders to realize efficient trading strategies
and informed investment decisions regarding pollution reduction.
关键词：EUA market, EU-ETS, carbon emission trading, Garch model, normal
mixture.
