中文摘要：

通过建立马尔可夫区制转换随机扩散模型,假定EUA价格具有高波动和低波动两个状态,研究欧盟排放交易机制（EU ETS）交易的EUA期货和现货价格的波动特征.结果表明：具有区制转换的随机扩散模型较一般扩散模型更好地拟合EUA样本数据,EUA价格存在两个显著的高、低波动区制,通过似然率检验,发现随机扩散模型的波动项是EUA价格波动的主要因素,且高波动性与重要的政策变化密切相关.并且随着EUA价格的上升,其价格停留在同一区制的概率下降.

英文摘要：

This paper proposes a general Markov regime-switching stochastic diffusion model to describe the dynamics of the EUA futures and spot, based on the hypothesis that the EUA prices have two regimes, such as high and low volatility regimes. The result shows that the regime-switching diffusion model fits the data sample much better than normal diffusion model. The prices of EUA have two significant regimes. According to the likelihood ratio test, it obtains that the volatility term plays a key role in explaining the dynamics of the EUA prices. Furthermore, the high volatility periods correspond to some policy events. If the price rises, then the probability of the price staying in the same regime in the next period decrea- ses.