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Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances

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Main Authors: Villar-Rubio, Elena, Huete-Morales, María-Dolores, Galán-Valdivieso, Federico
Format: Book
Language:English
Published: Springer 2023
Subjects:
price of CO2 allowances
EU ETS
Online Access:https://link.springer.com/article/10.1007/s13412-023-00838-5
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8669
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spelling oai:localhost:PNK-86692023-08-04T08:01:46Z Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances Villar-Rubio, Elena Huete-Morales, María-Dolores Galán-Valdivieso, Federico price of CO2 allowances EU ETS CC-BY The growing interest and direct impact of carbon trading in the economy have drawn an increasing attention to the evolution of the price of CO2 allowances (European Union Allowances, EUAs) under the European Union Emissions Trading Scheme (EU ETS). As a novel financial market, the dynamic analysis of its volatility is essential for policymakers to assess market efficiency and for investors to carry out an adequate risk management on carbon emission rights. In this research, the main autoregressive conditional heteroskedasticity (ARCH) models were applied to evaluate and analyze the volatility of daily data of the European carbon future prices, focusing on the last finished phase of market operations (phase III, 2013–2020), which is structurally and significantly different from previous phases. 2023-08-04T03:47:52Z 2023-08-04T03:47:52Z 2023 Book https://link.springer.com/article/10.1007/s13412-023-00838-5 https://dlib.phenikaa-uni.edu.vn/handle/PNK/8669 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic price of CO2 allowances
EU ETS
spellingShingle price of CO2 allowances
EU ETS
Villar-Rubio, Elena
Huete-Morales, María-Dolores
Galán-Valdivieso, Federico
Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances
description CC-BY
format Book
author Villar-Rubio, Elena
Huete-Morales, María-Dolores
Galán-Valdivieso, Federico
author_facet Villar-Rubio, Elena
Huete-Morales, María-Dolores
Galán-Valdivieso, Federico
author_sort Villar-Rubio, Elena
title Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances
title_short Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances
title_full Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances
title_fullStr Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances
title_full_unstemmed Using EGARCH models to predict volatility in unconsolidated financial markets: the case of European carbon allowances
title_sort using egarch models to predict volatility in unconsolidated financial markets: the case of european carbon allowances
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s13412-023-00838-5
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8669
_version_ 1773327721823207424
score 8.881002

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