三、未擺入能源變數落後期的探討，對於碳價格波動持續影響的程度，會大於擺入能源變數落後期的影響程度。 In this paper we use GARCH model to analyze the daily carbon prices volatility of European Union Allowances (EUAs) traded in the European Energy Exchange with a sample period from March 2008 to December 2009. We consider both the energy prices and two extreme weather dummy variables.
Three empirical results were found. First of all, the coal price volatility, the oil price volatility, the CDS volatility and the Switch volatility have singnificant and positive effect on carbon price volatility without consideration of energy related lag variables. Secondly, the coal price volatility and the oil price volatility are significant in explaing the carbon price volatility by considering energy related variables. Finally, the volatility effect on carbon price without lags effect is larger than the effect with lags effect.
