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arXiv · 2510.07568

Modeling and forecasting of European Carbon Emission Allowance futures by ARIMA-TX-GARCH models with correlation threshold

Jaeho Lee·Eunju Hwang
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Abstract

We propose an ARIMA-TX-GARCH model and use it to forecast European Carbon Emission Allowance futures prices, incorporating Brent crude oil futures prices as an exogenous variable.

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Jaeho Lee, Eunju Hwang. 2025-12-23. Modeling and forecasting of European Carbon Emission Allowance futures by ARIMA-TX-GARCH models with correlation threshold. https://arxiv.org/abs/2510.07568

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