Study on the Impact of Russia-Ukraine Conflict on the Volatility and Risk of EU Carbon Emission Rights Trad-ing Market-Based on GARCH-VaR Perspective
The outbreak of the Russia-Ukraine conflict has caused a drastic impact on the carbon emissions trading system of the European Union(EU),and it is of great significance to measure the impact of the Rus-sia-Ukraine conflict on the price volatility and risk level of carbon emissions trading.By setting up two scenari-os before and after the Russia-Ukraine conflict,and based on EU Carbon Allowance Futures(EUA)daily data,the GARCH-VaR model is used to investigate the impact of the Russia-Ukraine conflict on the price volatility and market risk of the EU carbon market,and the study confirms that the GARCH-VaR model can measure the volatility characteristics of the EUA yield series before and after the conflict,as well as measure the market risk level.The study confirms that the GARCH-VaR model can measure the volatility characteristics and mea-sure the level of market risk of the EU carbon market before and after the Russia-Ukraine conflict.
Russia-Ukraine ConflictGARCH ModelValue-at-Risk(VaR)Impact Study
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