基于百度指数的碳交易市场波动率的实证研究

碳交易市场波动率研究主要基于成交量数据对收益率GARCH效应的解释作用。在互联网时代可以有更新更为有效的方法来衡量碳交易市场的波动性。基于“碳交易”词条的百度指数，以湖北碳交易市场中的收益率为样本，本文通过对比使用引入成交量和搜索量的IGARCH（1，1）模型，实证研究发现传统的量价方程的确没有解释力，而百度指数可以对收益率的GARCH效应做出部分合理的解释，这可以在某种程度上反映湖北碳交易市场的交易信息流。

Research on the Volatility of Return Rate of Emission Exchange Market Based on Baidu Index

The empirical test shows that traditional volume price equation does not work well in the return rate of emission exchange market . In the information age there are other new and more effective methodologies to test this kind of return rate . So this paper intends to explain the return rate of Emission Exchange Market by Baidu Index which including key words carbon trading instead of traditional method . Given that the addition of measures of Baidu index , and based on China Hubei Emission Exchange market , this paper sets up an IGARCH(1 ,1 )model augmented both by the addition of measures of Baidu Index and traditional volume price equation to explain the GARCH effect . We compare the different effects of them and find that IGARCH model augmented by Baidu Index which has better perfor-mance than initial one . And it also shows that Baidu Index can make persistent volatility weakened . This conclusion means that Baidu In-dex can make some reasonable explanation for the GARCH effect of return rate and can be used as partial replacement of transaction infor-mation flow in Hubei Emission Exchange market .