Prediction of Emission Allowances Spot Prices Volatility with the Use of GARCH Models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F16%3A72340" target="_blank" >RIV/60460709:41110/16:72340 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Prediction of Emission Allowances Spot Prices Volatility with the Use of GARCH Models
Original language description
For several years, the system of emission allowances trading has been dealing with a crisis mainly due to the falling prices of emission allowances. That said, the partial aim of this paper is to create an overview of EUA trading options and acquaint readers with the development of the emission allowances price. Another partial aim is to predict the volatility of prices of emission allowances with the use of BAU scenario, i.e. without any intervention. ARIMA models are used to model the conditional mean value and linear ARCH or GARCH models are used to model conditional variance. The uniqueness of this paper lies in the fact that there are many expert studies dealing with the prediction of the price of allowance but there are only a limited number of scientific studies concerning the prediction of volatility which is the crucial element for trading with emission allowances on the exchange. Based on these two results the main aim of this article is to show pos
Czech name
—
Czech description
—

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)