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    Title: 二氧化碳排放權價格動態變化之研究
    Other Titles: An analysis of CO2 emission price dynamics
    Authors: 鄭雲勻;Cheng, Yun-Yun
    Contributors: 淡江大學經濟學系碩士班
    萬哲鈺;Wan, Jer-Yuh
    Keywords: 二氧化碳排放權價格;ARJI模型;常數跳躍強度模型;CO2 emission price;ARJI Model;constant intensity jump GARCH model
    Date: 2011
    Issue Date: 2011-12-28 18:05:49 (UTC+8)
    Abstract: 本研究以AR(3)-GARCH(1,1) 模型、常數跳躍強度模型,以及ARJI 模型,探討碳交易市場─BlueNext交易所之二氧化碳排放權報酬率是否存在跳躍的現象、是否具有波動叢聚和高狹峰的特性。接著,在這三個模型中,透過樣本內的選取,比較這三個模型的預測能力。
    實證結果整理如下:
    (1)在碳交易市場中,第二階段的持續波動相較於第一階段穩定。
    (2)因ARJI模型估計時,參數的估計都很顯著,顯示出使用ARJI模型的確可以掌握到價格波動變化,印證了林丙輝及葉仕國 (1999) 認為在市場上都受到不連續性跳躍的影響。
    (3)以RMSE 和 MAE為衡量預測能力的準則,AR(3)-GARCH(1,1)優於常數跳躍強度模型與ARJI模型;透過Diebold and Mariano預測比較檢定與Granger and Newbold預測比較檢定,說明AR(3)-GARCH(1,1) 模型、常數跳躍強度模型、和ARJI模型一樣好。整體而言,選擇不同的比較準則時,恐會影響分析結果。
    (4)建議欲了解二氧化碳排放權現貨報酬率時,考量跳躍的因素,是很重要的。
    This paper adopts the AR(3)-GARCH(1,1) model, constant intensity jump GARCH model, and ARJI model to examine the jump, leptokurtosis and volatility clustering of the returns of CO2 emission price. We evaluate the performance of the three model mentioned above by investigating the in-the-sample forecasting power on the returns of CO2 emission price.
    Our empirical results are stated as following:
    (1) The volatility of second phase is relative stable than that of first phase in carbon market.
    (2) The empirical results indicate that the ARJI model can capture the variation and jump of the returns of CO2 emission price.
    (3) The AR(3)-GARCH(1,1) model is superior than the constant intensity jump GARCH model and ARJI model based on the criterion of minimizing RMSE and MAE. On the contrary, from Diebold and Mariano forecast comparison test and Granger-Newbold forecast comparison test it shows that performance of the AR(3)-GARCH(1,1) model is the same as that of constant intensity jump GARCH model and ARJI model.
    (4) When considering the returns of CO2 emission price, jumps in the volatility play a very important role.
    Appears in Collections:[經濟學系暨研究所] 學位論文

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