Research on two-stage price volatility of Beijing carbon market
School of Economics and Management, Nanjing University of Science and Technology, Nanjing, China
ABSTRACT: This paper takes the formal establishment of the national carbon market at the end of 2017 as the demarcation point, uses MATLAB tools to conduct an empirical study on the volatility of the two-stage carbon price daily return sequence of the Beijing carbon market, and establishes the two-stage fitting through model identification and ranking. The model and Monte Carlo simulation were performed to compare the two-stage volatility. It was found that the second stage, which was more impacted by extreme events, had higher volatility. ...
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