参数

碳中和债指数CB

全国碳市场CEA

深圳碳试点SZEA

广东碳试点GDEA

湖北碳试点HBEA

均值方程

0.000178^***

(0.000007)

−0.000004^***

(0.000001)

0.002449^***

(0.000144)

−0.001698^***

(0.000025)

−0.000220^***

(0.000016)

AR(1)

−1.160647^***

(0.028732)

0.330028^***

(0.003501)

0.091388^***

(0.000943)

0.797922^***

(0.021117)

0.384727^***

(0.008625)

AR(2)

−0.318634^***

(0.027504)

−0.000937^***

(0.000015)

0.595216 ^***

(0.008296)

—

0.148082^***

(0.003749)

AR(3)

0.317497^***

(0.015349)

0.001553^***

(0.000004)

—

—

−0.062045^***

(0.002284)

MA(1)

1.588196^***

(0.029910)

−0.327076^***

(0.003709)

−0.103499^***

(0.001634)

−1.272670^***

(0.009195)

−0.601737^***

(0.008991)

MA(2)

1.034409^***

(0.053887)

—

−0.625478^***

(0.008382)

0.355161^***

(0.001941)

—

MA(3)

0.157148^***

(0.017260)

—

—

—

—

方差方程

0.000020^***

(0.000008)

−0.837916^***

(0.007255)

−0.115775^***

(0.002262)

−1.642829^***

(0.010751)

−2.286025^***

(0.013492)

0.165301^***

(0.045676)

0.044893^***

(0.003364)

0.004398^***

(0.001640)

0.153381^***

(0.001421)

−0.047277^***

(0.017367)

0.805043^***

(0.048537)

0.912353^***

(0.003577)

0.977698^***

(0.001293)

0.730370^***

(0.002317)

0.703374^***

(0.003971)

Skewness

1.068576

0.999119

0.978534

0.789359

0.966108

Kurtosis

1.219890

0.236217

0.590802

0.518526

0.800813

模型检验

Log−L

3348.986

1904.983

580.7145

1000.405

1257.21

AIC

−13.616

−7.7305

−2.3254

−4.0425

−5.0866

BIC

−13.505

−7.6364

−2.2312

−3.9569

−4.9924

LB(5)

2.08940

0.4968

0.5993

0.11022

6.0096^*

LB(9)

3.68375

0.7699

0.9025

0.18353

15.5733^***

ARCH−LM(5)

2.110

0.24841

0.2164

0.08636

15.6803

ARCH−LM(7)

3.243

0.39516

0.4565

0.13060

18.7780