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StatisticsandApplication统计学与应用20176(4)418-427PublishedOnlineOctober2017inHans.http://www.hanspub.org/journal/sahttps://doi.org/10.12677/sa.2017.64048TheEmpiricalStudyofCarbonEmissionPrice’sVolatilityBasedonARMAModel—EvidencefromShenzhenEmissionsExchangePengChengXuehuaZhang*InstituteofEnvironmentalEconomicsTianjinPolytechnicUniversityTianjinReceived:Oct.4th2017;accepted:Oct.20th2017;published:Oct.27th2017AbstractEnvironmentalproblemsarebecomingincreasinglyserious.Ithasbeenagreedbytheworldthatwearesupposedtodeveloptherealeconomybypromotingthedevelopmentofthelow-carboneconomy.ThispaperusesdataoftheaveragepriceofcarbonemissionsinShenzhenCarbonEx-changeandanalyzescarbonemissionprice’svolatilityofreturnbyARCHmodelsbasedonARMAmodel.Theresultsshowthatthereisacertaindegreeoftimelagandobviousconditionalhete-roscedasticityeffectsincarbonemissionratewhichcouldbecorrectedandpreciselydescribedbyARMA-GARCHmodel.Finallyweusetherevisedmodeltoforecastthemarketpriceinrecentperiod.KeywordsARMAModelCarbonEmissionVolatilityofReturnARCHModels基于ARMA模型的碳排放权交易价格波动实证分析—以深圳排放权交易为例程芃张雪花*天津工业大学环境经济研究所天津收稿日期:2017年10月4日;录用日期:2017年10月20日;发布日期:2017年10月27日*通讯作者。文章引用:程芃张雪花.基于ARMA模型的碳排放权交易价格波动实证分析[J].统计学与应用20176(4):418-427.DOI:10.12677/sa.2017.64048