Research on the Break Point of Volatility of EU Car-bon Emission Rights and Its Impact Process
The Bai-Perron multi-break point structure test was used to identify structural breaks in the Europe-an Union's emission right trading system from 2008 to 2022.By adding process dummy variables to the mean and variance equations of the traditional AR-GARCH model,a process dummy variable research method was proposed that can reflect the impact of break events on the process.The empirical results show that there have been five structural mutations in the volatility of EU carbon emissions.The use of process dummy variable re-search method effectively captures the ex-ante and ex-post impact of break points on carbon price returns and volatility.
Structural Break PointProcess Dummy VariableExpected Return of Carbon Emission RightsVolatility of Carbon Emission Rights
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