文章基本信息

标题：Forecasting the Volatility of European Union Allowance Futures with Climate Policy Uncertainty Using the EGARCH-MIDAS Model
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作者：Xinyu Wu ; Xuebao Yin ; Xueting Mei 等
期刊名称：Sustainability
印刷版ISSN：2071-1050
出版年度：2022
卷号：14
期号：7
页码：4306
DOI：10.3390/su14074306
语种：English
出版社：MDPI, Open Access Journal
摘要：We propose the EGARCH-MIDAS-CPU model, which incorporates the leverage effect and climate policy uncertainty (CPU) to model and forecast European Union allowance futures’ (EUAF) volatility. An empirical analysis based on the daily data of the EUAF price index and the monthly data of the CPU index using the EGARCH-MIDAS-CPU model shows that the EUAF’s volatility exhibits a leverage effect, and the CPU has a significantly negative impact on the EUAF’s volatility. Furthermore, out-of-sample analysis based on three loss functions and the Model Confidence Set (MCS) test suggests that EGARCH-MIDAS-CPU model yields more accurate out-of-sample volatility forecasting results than various competing models. There is room for further application of the model, such as this model could be applied to price carbon futures, so as to improve the liquidity of the carbon market and achieve carbon peak and carbon neutrality as soon as possible.