广州碳市场

湖北碳市场

北京碳市场

上海碳市场

模型

参数

m1

ARMA(1,1)

-GARCH

m2

ARMA(1,1)

-EGARCH

m3

ARMA(1,0)

-GARCH

m4

ARMA(1,0)

-EGARCH

m5

ARMA(1,1)

-GARCH

m6

ARMA(1,1)

-EGARCH

m7

ARMA(1,1)

-GARCH

m8

ARMA(1,1)-EGARCH

ar1

0.08917

(0.3955)

0.0972

(0.1245)

−0.1985^***

(0.0000)

−0.1928^***

(0.0000)

0.5725^***

(0.0000)

−0.7633^***

(0.0000)

0.1394

(0.1406)

0.1931^**

(0.0034)

ma1

−0.3809^***

(0.0001)

−0.3867^***

(0.0000)

/

/

−0.7996^***

(0.0000)

0.7240^***

(0.0000)

−0.4523^***(0.0000)

−0.5100^***

(0.0000)

omega

0.2413^**

(0.0026)

0.1443^***

(0.0007)

0.4081^**

(0.0039)

0.3782^***

(0.0000)

0.1214^*

(0.0164)

0.1722^*

(0.0408)

1.0570^**

(0.0010)

0.4277^***

(0.0002)

alpha1

0.4908^***

(0.0000)

0.6953^***

(0.0000)

1.0000^***

(0.0000)

1.2676^***

(0.0000)

1.0000^***

(0.0000)

0.8365^***

(0.0001)

1.0000^***

(0.0000)

1.4410^***

(0.0000)

beta1

0.6443^***

(0.0000)

0.9191^***

(0.0000)

0.5111^***

(0.0000)

0.8481^***

(0.0000)

0.6223^***

(0.0000)

0.9641^***

(0.0000)

0.4226^***

(0.0000)

0.9010^***

(0.0000)

gamma1

/

0.0356

(0.3517)

/

−0.0991

(0.1257)

/

−0.0507

(0.4265)

/

0.5377^**

(0.0012)

skew

/

/

/

/

0.7117^***

(0.0000)

0.8430^***

(0.0000)

/

/

shape

3.4777^***

(0.0000)

3.3844^***

(0.0000)

2.6559^***

(0.0000)

2.4192^***

(0.0000)

2.6607^***

(0.0000)

2.5122

(0.0000)

2.5968^***

(0.0000)

2.1000^***

(0.0000)

Q (20)

0.260

0.257

0.740

0.762

0.599

0.275

0.110

0.553

Q² (20)

0.412

0.680

0.601

0.796

0.987

0.989

0.738

0.999

似然值

−2939.1

−2940.4

−2885.8

−2882.2

−2594.7

−2627.5

−2237.9

−2267.5

AIC

4.3089

4.3123

4.3050

4.3011

6.6285

6.7147

5.2245

5.2957