Carbon market volatility analysis based on structural breaks: Evidence from EU-ETS and China

In recent years, carbon market transactions have become more active. The number of countries participating in regulation is increasing, and the market’s overall turnover continues to grow. It important study features allowance price volatility for stable development market. This paper constructs a modified ICSS-GARCH model analyze returns dynamic characteristics fluctuations emissions trading system European Union (EU-ETS) Chinese pilot markets Hubei. results show that leverage effect impact negative news on stronger than positive news. international climate energy conferences, abnormal changes traditional prices, global public health emergencies all affect cause shocks with structural breaks can reduce pseudovolatility return series certain extent improve accuracy model. research give policymakers some implications about how develop help participants control risks allowances. Regulators should enhance monitoring focus short-term risks. strengthen design financial derivatives.