计算机应用与软件2025，Vol.42Issue(9)：44-50,7.DOI:10.3969/j.issn.1000-386x.2025.09.007
基于QRNN-GARCH-CoVaR模型的碳金融市场的风险度量分析
RISK MEASUREMENT ANALYSIS OF CARBON FINANCIAL MARKET BASED ON QRNN-GARCH-CoVaR MODEL
摘要
Abstract
To achieve accurate measurement of VaR and risk spillover effect ΔCoVaR,considering the typical characteristics of carbon financial markets such as volatility aggregation,thick tail and asymmetry,QRNN-GARCH-CoVaR model is constructed based on neural network quantile regression(QRNN)model and GARCH model to fit the advantages of volatility aggregation.Taking carbon trading returns from Beijing,Guangdong,Hubei and London as the research objects,the empirical results show that,first,QRNN-GARCH-CoVaR model is not only better than the traditional model in measuring VaR,but also captures the financial risk spillover effect.Second,the risk transmission direction and sensitivity of domestic markets are different.Hubei market has high stability and strong risk absorption ability.Beijing and Guangdong markets fluctuate greatly,and Beijing market is vulnerable to foreign markets.关键词
神经网络/分位数回归/VaR/CoVaRKey words
Neural network/Quantile regression/VaR/CoVaR分类
信息技术与安全科学引用本文复制引用
栗浩南,王沁,李子月..基于QRNN-GARCH-CoVaR模型的碳金融市场的风险度量分析[J].计算机应用与软件,2025,42(9):44-50,7.基金项目
国家自然科学基金项目(71371157). （71371157）
