全球智库信息集成服务系统(G2TT): On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
	Julien Chevallier; Benoît Sévi
发表日期	2009
出处	Climate Change and Sustainable Development
出版年	2009
语种	英语
摘要	The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a controversial issue. This article improves our understanding of this issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European Climate Exchange (ECX), which is valid during Phase II (2008-2012) of the EU ETS. The realized volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in logarithmic form is shown to be close to normal. The mixture-of-distributions hypothesis is strongly rejected, as the returns standardized using daily measures of volatility clearly departs from normality. A simplified HAR-RV model (Corsi, 2009) with only a weekly component, which reproduces long memory properties of the series, is then used to model the volatility dynamics. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts, which confirms the HAR-RV superior ability. Our conclusions indicate that (i) the standard Brownian motion is not an adequate tool for option pricing in the EU ETS, and (ii) a jump component should be included in the stochastic process to price options, thus providing more efficient tools for risk-management activities.
特色分类	C5;G1;Q4
关键词	CO2 Price Realized Volatility HAR-RV GARCH Futures Trading Emissions Markets EU ETS Intraday data Forecasting
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/on-the-realized-volatility-of-the-ecx-co2-emissions-2008-futures-contract-distribution-dynamics-and-forecasting/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/117663
推荐引用方式 GB/T 7714	Julien Chevallier,Benoît Sévi. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting. 2009.

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文件名称/大小	资源类型	版本类型	开放类型	使用许可
200912111559271Nota_（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
200912111559414113-0（753KB）	智库出版物		限制开放	CC BY-NC-SA	浏览