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2014-09-19Buch DOI: 10.18452/4538
Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models
dc.contributor.authorBenschop, Thijs
dc.contributor.authorCabrera, Brenda López
dc.date.accessioned2017-06-16T01:06:14Z
dc.date.available2017-06-16T01:06:14Z
dc.date.created2014-12-04
dc.date.issued2014-09-19
dc.date.submitted2014-09-19
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5190
dc.description.abstractWe analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. Due to the characteristics of the price process, such as volatility persistence, breaks in the volatility process and heavy-tailed distributions, we investigate the use of Markov switching GARCH (MS-GARCH) models on daily spot market data from the second trading period of the EU ETS. Emphasis is given to short-term forecasting of prices and volatility. We find that MS-GARCH models distinguish well between two states and that the volatility processes in the states are clearly different. This finding can be explained by the EU ETS design. Our results support the use of MS-GARCH models for risk management, especially because their forecasting ability is better than other Markov switching or simple GARCH models.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectCO2 Emission Tradingeng
dc.subjectCO2 Emission Allowanceseng
dc.subjectMarkov Switching GARCH Modelseng
dc.subjectVolatility Forecastingeng
dc.subjectSpot Price Modellingeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleVolatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100222000
dc.identifier.doihttp://dx.doi.org/10.18452/4538
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages31
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2014
local.edoc.container-issue50
local.edoc.container-year2014
local.edoc.container-erstkatid2195055-6

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