Research on Carbon Futures Forecast and Related Asset Impact Analysis Based on ARIMA-GARCH and RBF Contribution Analysis

Wenhui Wang, Xinhang Wu, Yifan Wu

2022

Abstract

To studies the trend of carbon futures price and influencing factors. In this paper, the EU carbon financial emission market carbon trading settlement price EUA is selected as the research object. Based on the carbon futures price data from 2008 to 2021, this paper constructs an Autoregressive Integrated Moving Average-generalized autoregressive conditional heteroscedasticity model to Forecast the price of carbon futures in the next three months. On this basis, the RBF (Radial Basis Function) neural network is constructed, and seven indexes such as stock index and crude oil price were selected from the aspects of energy and finance to analyze the contribution of the carbon price. The results are as follows: The ARIMA-GARCH model predicts that EUA prices will increase significantly in the next three months. The stock market is the most influential economic factor, followed by energy. Finally, this paper puts forward corresponding policy suggestions according to the results.

Paper Citation

in Harvard Style

Wang W., Wu X. and Wu Y. (2022). Research on Carbon Futures Forecast and Related Asset Impact Analysis Based on ARIMA-GARCH and RBF Contribution Analysis. In Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI; ISBN 978-989-758-620-0, SciTePress, pages 731-738. DOI: 10.5220/0011757600003607

in Bibtex Style

@conference{icpdi22,
author={Wenhui Wang and Xinhang Wu and Yifan Wu},
title={Research on Carbon Futures Forecast and Related Asset Impact Analysis Based on ARIMA-GARCH and RBF Contribution Analysis},
booktitle={Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI},
year={2022},
pages={731-738},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011757600003607},
isbn={978-989-758-620-0},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI
TI - Research on Carbon Futures Forecast and Related Asset Impact Analysis Based on ARIMA-GARCH and RBF Contribution Analysis
SN - 978-989-758-620-0
AU - Wang W.
AU - Wu X.
AU - Wu Y.
PY - 2022
SP - 731
EP - 738
DO - 10.5220/0011757600003607
PB - SciTePress