Value-at-Risk Estimation of Carbon Spot Market Based on the Combined GARCH-EVT-VaR Model

Jing Jing Jiang; Bin Ye

doi:10.4028/www.scientific.net/AMR.1065-1069.3250

Paper Titles

The Response of the Spawning of the Four Major Chinese Carps to the Flow Re-Operation of the Three Gorges Reservoir in the Yangtze River, China
p.3223

Treatment of Coking Wastewater by a Submerged Membrane Bioreactor with Suspended Carriers
p.3235

Application of Bio-Char from Sewage Sludge Pyrolysis
p.3239

Analysis on Factors Influencing Sludge Composting
p.3246

Value-at-Risk Estimation of Carbon Spot Market Based on the Combined GARCH-EVT-VaR Model
p.3250

Modeling the Impact of Three Gorges Dam on the Cooling Energy Consumption of the Reservoir Cities
p.3254

Development and Application of Improved Double Layer Snow-Melting Model in Changing Environment
p.3260

The Characteristics of Runoff and Sediment Yield in Different Land Use Types in Southwest Mountains of Henan Province
p.3267

The Evaluation of Angu Hydropower Station Habitat and Analysis on its Influencing Factors
p.3272

HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 1065-1069Value-at-Risk Estimation of Carbon Spot Market...

Value-at-Risk Estimation of Carbon Spot Market Based on the Combined GARCH-EVT-VaR Model

Abstract:

Based on the analysis of the dynamics of carbon price volatility, this article proposes to develop a combined extreme value theory and conditional variance based Value-at-Risk model (GARCH-EVT-VaR) for short-term risk measurement and estimation of the carbon spot market under the European Union Emission Trading Scheme (EU ETS). The model is implied to the EUA spot market and compared with the traditional GARCH-VaR model, the empirical results show that the GARCH based model underestimates market risks by overlooking the great price shocks, but the GARCH-EVT based model has the ability to take those extreme jumps into its risk estimations.

You might also be interested in these eBooks

Civil, Structural and Environmental Engineering III

View Preview

Info:

Periodical:

Advanced Materials Research (Volumes 1065-1069)

Pages:

3250-3253

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.1065-1069.3250

Citation:

Cite this paper

Online since:

December 2014

Authors:

Jing Jing Jiang, Bin Ye

Keywords:

Carbon Market, EUA, Risk, Value-At-Risk

Export:

RIS, BibTeX

Price:

Permissions CCC:

Request Permissions

Permissions PLS:

Request Permissions

Сopyright:

Citation:

References

[1] Seifert J, Uhrig-Homburg M, Wagner M. Dynamic Behavior of CO2 Spot Prices. Journal of Environmental Economics and Management, 2008, 56(2): 180-194.

DOI: 10.1016/j.jeem.2008.03.003

Google Scholar

[2] Chesney M, Taschini L. The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing. Applied Mathematical Finance, 2012, 19(5): 447-475.

DOI: 10.1080/1350486x.2011.639948

Google Scholar

[3] Chevallier J. A Model of Carbon Price Interactions with Macroeconomic and Energy Dynamics [J]. Energy Economics, 2011, 33(6): 1295-1312.

DOI: 10.1016/j.eneco.2011.07.012

Google Scholar

[4] Blyth,W., Bunn, D., 2011. Coevolution of Policy, Market and Technical Price Risks in the EUETS. Energy Policy 39, 4578-4593.

DOI: 10.1016/j.enpol.2011.04.061

Google Scholar

[5] Zhu,Z., Graham,P., Reedman,L., Lo, T., 2009. Ascenario-based Integrated Approach for Modeling Carbon Price risk. Decisions Econ Finan 32, 35-48.

DOI: 10.1007/s10203-009-0086-7

Google Scholar

[6] Graham, P., Reedman, L., Coombes, P., 2007. Options for Electricity Generation in Australia—2007, 32: 12(4).

Google Scholar