On the realized volatility of the ECX CO2 emissions 2008 futures contract: Distribution, dynamics and forecasting

被引：41

作者：

Chevallier J. ^{[1
]}

Sévi B. ^{[2
]}

机构：

[1] Imperial College London (Grantham Institute for Climate Change), University of Paris 10 (EconomiX-CNRS), London SW7 2AZ, South Kensington Campus

[2] Faculty of Law, Economics and Management, University of Angers (GRANEM), LEMNA and Bordeaux Management School (CEREBEM), 49036 Angers Cedex 01, 13 allée François Mitterrand

来源：

Annals of Finance | 2011年 / 7卷 / 1期

关键词：

Emissions markets; EU ETS; Forecasting; HAR-RV; Intraday data; Realized volatility;

D O I：

10.1007/s10436-009-0142-x

中图分类号：

学科分类号：

摘要：

This article documents the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European climate exchange (ECX), which is valid under the EU emissions trading scheme (EU ETS). 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-normals hypothesis is strongly rejected, as the returns standardized using daily measures of volatility clearly departs from normality. A simplified HAR-RV model (Corsi in J Financ Econ 7:174-196, 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. © 2009 Springer-Verlag.

引用

页码：1 / 29

页数：28

共 55 条

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