Impact of Geopolitical Risks on the Volatility of China Carbon Emission Exchange: Based on GARCH-MIDAS Model

DOI

10.2991/978-94-6463-742-7_8How to use a DOI?

Keywords

Geopolitical risk; Carbon emission right prices; Volatility; GARCH-MIDAS

Abstract

From the perspective of geopolitical risks (GPR), this paper uses a single-factor GARCH-MIDAS model to examine its impact on the volatility of carbon emission rights prices (CERP) in Shenzhen, China. The in-sample fitting results show that when GPR increases, the volatility of CERP’s logarithmic returns decreases. Additionally, out-of-sample DM test statistics indicate that incorporating the exogenous variable GPR improves the model’s predictive accuracy. This suggests that GPR has a persistent negative effect on the volatility of CERP’s logarithmic returns and is a key external driver of carbon emission permit price volatility in Shenzhen, China.

Copyright

© 2025 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Yuqian Sun
AU  - Xun You
AU  - Yehong Yang
PY  - 2025
DA  - 2025/05/31
TI  - Impact of Geopolitical Risks on the Volatility of China Carbon Emission Exchange: Based on GARCH-MIDAS Model
BT  - Proceedings of the 2025 4th International Conference on Bigdata Blockchain and Economy Management (ICBBEM 2025)
PB  - Atlantis Press
SP  - 65
EP  - 72
SN  - 1951-6851
UR  - https://doi.org/10.2991/978-94-6463-742-7_8
DO  - 10.2991/978-94-6463-742-7_8
ID  - Sun2025
ER  -