This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...

The carbon market, as a market operating with carbon emission rights for core trading, plays an important role in reducing the production of greenhouse gases and controlling the risk of climate change caused by environmental pollution but also shows complex and changeable dynamic...