Prediction of Emission Allowances Spot Prices Volatility with the Use of GARCH Models
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Prediction of Emission Allowances Spot Prices Volatility with the Use of GARCH Models
Popis výsledku v původním jazyce
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
Název v anglickém jazyce
Prediction of Emission Allowances Spot Prices Volatility with the Use of GARCH Models
Popis výsledku anglicky
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
Klasifikace
Druh
J<sub>x</sub> - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
CEP obor
AH - Ekonomie
OECD FORD obor
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Návaznosti výsledku
Projekt
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Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2016
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
ACTA VŠFS. (Acta Vysoké školy finanční a správní.)
ISSN
1802-792X
e-ISSN
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Svazek periodika
10
Číslo periodika v rámci svazku
1
Stát vydavatele periodika
CZ - Česká republika
Počet stran výsledku
14
Strana od-do
66-79
Kód UT WoS článku
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EID výsledku v databázi Scopus
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