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系統識別號 U0002-1906201121024700
中文論文名稱 二氧化碳排放權價格動態變化之研究
英文論文名稱 An analysis of CO2 emission price dynamics
校院名稱 淡江大學
系所名稱(中) 經濟學系碩士班
系所名稱(英) Department of Economics
學年度 99
學期 2
出版年 100
研究生中文姓名 鄭雲勻
研究生英文姓名 Yun-Yun Cheng
學號 698570016
學位類別 碩士
語文別 中文
口試日期 2011-06-08
論文頁數 70頁
口試委員 指導教授-萬哲鈺
中文關鍵字 二氧化碳排放權價格  ARJI模型  常數跳躍強度模型 
英文關鍵字 CO2 emission price  ARJI model  constant intensity jump GARCH model 
學科別分類 學科別社會科學經濟學
中文摘要 本研究以AR(3)-GARCH(1,1) 模型、常數跳躍強度模型,以及ARJI 模型,探討碳交易市場─BlueNext交易所之二氧化碳排放權報酬率是否存在跳躍的現象、是否具有波動叢聚和高狹峰的特性。接著,在這三個模型中,透過樣本內的選取,比較這三個模型的預測能力。
(2)因ARJI模型估計時,參數的估計都很顯著,顯示出使用ARJI模型的確可以掌握到價格波動變化,印證了林丙輝及葉仕國 (1999) 認為在市場上都受到不連續性跳躍的影響。
(3)以RMSE 和 MAE為衡量預測能力的準則,AR(3)-GARCH(1,1)優於常數跳躍強度模型與ARJI模型;透過Diebold and Mariano預測比較檢定與Granger and Newbold預測比較檢定,說明AR(3)-GARCH(1,1) 模型、常數跳躍強度模型、和ARJI模型一樣好。整體而言,選擇不同的比較準則時,恐會影響分析結果。
英文摘要 This paper adopts the AR(3)-GARCH(1,1) model, constant intensity jump GARCH model, and ARJI model to examine the jump, leptokurtosis and volatility clustering of the returns of CO2 emission price. We evaluate the performance of the three model mentioned above by investigating the in-the-sample forecasting power on the returns of CO2 emission price.
Our empirical results are stated as following:
(1) The volatility of second phase is relative stable than that of first phase in carbon market.
(2) The empirical results indicate that the ARJI model can capture the variation and jump of the returns of CO2 emission price.
(3) The AR(3)-GARCH(1,1) model is superior than the constant intensity jump GARCH model and ARJI model based on the criterion of minimizing RMSE and MAE. On the contrary, from Diebold and Mariano forecast comparison test and Granger-Newbold forecast comparison test it shows that performance of the AR(3)-GARCH(1,1) model is the same as that of constant intensity jump GARCH model and ARJI model.
(4) When considering the returns of CO2 emission price, jumps in the volatility play a very important role.
論文目次 目錄

表目錄 II
圖目錄 III
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 8
1.3 研究限制 9
1.4 本文架構 10
1.5 研究流程 11
第二章 文獻回顧 12
2.1 金融資產訂價模型之相關文獻回顧 12
2.2 二氧化碳排放權價格波動與統計方法之相關文獻回顧 16
2.3 小結 18
第三章 研究方法與模型 19
3.1 AR(3)-GARCH(1,1) 19
3.2 常數跳躍強度模型 20
3.3 ARJI模型 21
3.4 模型預測績效指標 24
3.5 預測比較檢定方法 24
第四章 研究結果與分析 26
4.1 資料來源與處理 26
4.2 基本統計分析 27
4.3 實證結果分析 32
第五章 結論與建議 65
參考文獻 67

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