基于WTMM的碳期货价格波动特征研究

摘要/Abstract

摘要： 探究结构性突变下的碳期货价格波动特征对于投资组合优化以及风险管理有着重要的意义。本文将碳价波动可能存在的结构性突变考虑在内，基于小波变换模极大值（WTMM）算法对欧盟碳排放交易机制（EU ETS）体系下第二和第三阶段的EUA期货价格波动特征进行研究。本文从Lipschitz指数出发，应用WTMM方法，识别欧盟碳市场波动结构突变点，并实现对阶跃和冲击两类突变点的划分。实证研究结果表明，EUA期货波动存在阶跃型和冲击型结构突变点。具体而言，第二和第三阶段下的EUA期货波动分别存在8个和7个阶跃型结构突变点，金融危机、市场改革和经济形势变动等是其产生的重要原因，它们均使得EUA期货波动率发生较大变化；EUA期货波动在第三阶段存在1个冲击型结构突变点，政策变化是引起该结构突变的重要原因。与传统结构突变检测方法相比，WTMM得出的突变点检测结果更加细致和全面。

关键词: 碳期货, 结构突变, 小波变换模极大值, Lipschitz指数

Abstract: Exploring the volatility characteristics of carbon futures prices under structural breaks is of great significance for portfolio optimization and risk management. Based on the wavelet transform modulus maximum algorithm (WTMM), this paper studies the characteristics of EUA futures price fluctuation in the second and third phases of the EU ETS system, with possible structural breaks of carbon price fluctuation taken into account. Starting from the Lipschitz exponent, this paper applies the WTMM model to identify the structural breaks of the EUA price volatility and realizes the division of breakpoints into step-and impulse-type breaks. The empirical results show that there are step- and impulse-type structural breaks in the EUA volatility. Specifically, in the second and third phases, the EUA volatility has 8 and 7 step-type structural breakpoints, respectively. Financial crises, market reform, and economic situation changes are the important reasons for their occurrence, which all make the EUA futures volatility change significantly. In the third stage, the EUA volatility has one impulse-type structural break point, and policy change is an important reason for this structural break. Compared with the traditional structural break detection methods, the break detection results obtained by WTMM are more detailed and comprehensive.

Key words: carbon futures, structural breaks, wavelet transform modulus maximum, Lipschitz exponent

李靖宇, 赵梦凡, 刘苒苒, 李永武, 谢启伟. 基于WTMM的碳期货价格波动特征研究[J]. 管理评论, 2024, 36(12): 84-96.

Li Jingyu, Zhao Mengfan, Liu Ranran, Li Yongwu, Xie Qiwei. Research on the Fluctuation Characteristics of Carbon Futures Price Based on WTMM[J]. Management Review, 2024, 36(12): 84-96.

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