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Comparative Analysis of Volatility Forecasting Models for Carbon Emission Market

Bohang Wei
Vol.3, No.2, pp.271-279, 2024 DOI: 10.62051/ijgem.v3n2.29 June 28, 2024
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Abstract: It's an interesting question to consider whether time series models based on historical data or implied volatilities obtained directly from option prices are more efficient in forecasting future volatilities. According to a study on EUA options, when the forecast horizon is a week, implied volatilities are more efficient in predicting future volatilities. Additionally, the study suggests that the larger the options trading volume, the more information is contained in implied volatilities.
Keywords: EUA, Realized Volatility, Implied Volatility, GARCH Model
APA Citation: Bohang Wei (2024). Comparative Analysis of Volatility Forecasting Models for Carbon Emission Market. International Journal of Global Economics and Management, 3(2), 271-279. https://doi.org/10.62051/ijgem.v3n2.29

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