Modeling carbon price fluctuations of European Union Allowances
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086475" target="_blank" >RIV/61989100:27510/13:86086475 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Modeling carbon price fluctuations of European Union Allowances
Original language description
This paper uses the Generalized Autoregressive Conditional Heteroscedastic models to estimate conditional variance in the daily returns of the daily carbon prices. Models are verified on data over the period from January 2008 to December 2012 for Spanish, German and Slovak carbon market. Models (GARCH and TARCH) include both symmetric and asymmetric models. The asymmetric power APARCH model for estimating the power parameter of the standard deviation is a further exten-sion. Empirical results show strong evidence that daily carbon returns could be modeled by the above mentioned models. The persistence coefficient is lower for Spanish and German carbon market than for the Slovak one. Our findings also confirm the presence of the leverage effect for Spanish and German carbon market. Estimated power coefficient is highest for German carbon market. ARCH-LM test statistics for all models did not re-veal any additional ARCH effect.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 10th International Conference on Strategic Management and its Support by Information Systems 2013 : 29th - 30th August, Valašské Meziříčí, Czech Republic
ISBN
978-80-248-3096-4
ISSN
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e-ISSN
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Number of pages
14
Pages from-to
56-69
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Valašské Meziříčí
Event date
Aug 29, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000324842000005