基于SV-Copula的欧盟碳配额现货和期货价格相依性研究

碳配额现货和期货价格的相依性对投资者进行套期保值和投机套利均具有重要意义.本文采用SV (stochastic volatility)模型研究了欧盟碳配额现货和期货价格的波动特征,继而用Copula函数分析了两者之间的相依结构,结果发现:EU ETS (European Union Emissions Trading Scheme)第二阶段和第三阶段的碳现货与碳期货价格都存在显著的波动持续性和杠杆效应,且第三阶段碳现货和碳期货价格的波动风险均大于第二阶段;碳现货和碳期货价格之间存在高度相依性,且第三阶段碳现期货价格尾部相依性更强;两阶段中两者的尾部相依性呈现为对称且厚尾.

Research on the dependence of spot and future prices of EUA based on SV-Copula model

The dependence of spot and future prices of carbon allowances is of great importance to investors in hedging, speculation and arbitrage. In this paper, the stochastic volatility (SV) model is used to study the fluctuation characteristics of the spot and futures prices of European Union Allowances, and then the Copula function is used to analyze the dependence structure between them. The results show that carbon spot prices and future prices have significant fluctuation persistence and leverage effect during Phase II and Phase III of European Union Emissions Trading Scheme (EU ETS). During Phase III, the fluctuation risk of spot prices and future prices is greater than that during Phase II. Furthermore, there is a high degree of dependence between spot prices and future prices, and during Phase III the tail dependence is stronger. The tail dependence of the two phases is symmetric and thick.