Design of new energy market indicator system and dynamic risk assessment based on graph neural network: enhancing market monitoring and forecasting capability

Figure 1.

The GARCH model parameter estimation result

	Shenzhen carbon market	Hubei carbon market	Coal market	Crude oil market	New energy market
μ	0.0352	-0.0351	0.0642	0.0724	0.0507
ω	1.8579	0.5628	0.0597	0.2458	0.0214
α	0.3264	0.6587	0.0928	0.1468	0.0575
β	0.6175	0.3051	0.8994	0.8325	0.9267
AIC	7.6814	4.5007	3.6125	4.6119	3.9865
BIC	7.7789	4.1236	4.0437	4.7325	3.8714.

Selection of copula functions

		Gaussion Copula	Student-t Copula	Frank Copula
Shenzhen → new energy	LogLike	0.52	1.08	0.25
	AIC	0.91	2.31	1.68
	BIC	7.04	15.27	8.34
Hubei → new energy	LogLike	0.25	-0.15	0.51
	AIC	1.64	5.93	1.19
	BIC	7.79	16.34	7.53

The Ljung-Box Q test of the GARCH(1, 1) model

Market	Ljung-Box	P VALUE
Shenzhen carbon market	0.0067	0.9537
Hubei carbon market	1.2543	0.2856
Coal market	0.1895	0.6979
Crude oil market	0.9677	0.3508
New energy market	0.9568	0.3641

The prediction error of the Shanghai 50 index

		MAE	MAPE	RMSE
Shanghai Shanghai 50 index	GNN	1.125036	0.000542	9.326473
	LSTM	4.653381	0.001779	38.490865
	Random forest	1.560437	0.000459	14.527119
	XGBoost	0.983642	0.000406	8.667859

Comparative analysis

Prediction model	GNN				SVM
Hysteresis	First-order	Second order	Third order	Fourth-order	First-order	Second order	Third order	Fourth-order
MAPE/%	3.52	4.14	4.96	5.54	3.78	4.25	4.92	5.76
MAE	0.756	0.824	0.945	1.354	0.757	0.824	0.927	1.288
RMSE	0.598	0.635	0.778	0.897	0.611	0.676	0.790	0.954
FVD	0.891	0.837	0.775	0.714	0.837	0.797	0.785	0.729
Prediction model	GM(1,N)				ARMAX
Hysteresis	First-order	Second order	Third order	Fourth-order	First-order	Second order	Third order	Fourth-order
MAPE/%	4.58	5.96	5.27	6.35	6.59	7.57	8.04	8.59
MAE	0.896	0.974	1.345	1.578	1.781	1.995	1.653	1.907
RMSE	0.665	0.725	0.787	0.965	0.965	0.993	1.042	1.214
FVD	0.824	0.810	0.726	0.722	0.776	0.721	0.807	0.753
Prediction model	BP				RM
Hysteresis	First-order	Second order	Third order	Fourth-order	First-order	Second order	Third order	Fourth-order
MAPE/%	7.89	8.65	9.75	10.24	9.03	9.75	10.03	11.48
MAE	1.635	1.962	2.653	2.369	2.214	2.324	2.635	2.989
RMSE	0.797	0.804	0.979	1.324	0.706	0.927	1.333	1.502
FVD	0.735	0.747	0.614	0.685	0.724	0.643	0.659	0.657

Shenzhen, hubei carbon market and energy market risk spill value (q= 0_05)

	CoVaR	ΔCoVaR	%ΔCoVaR
Shenzhen carbon market → new energy market	-3.654	0.379	8.76%
Hubei carbon market → new energy market	-3.245	0.197	6.35%
New energy market → shenzhen carbon market	-25.964	3.564	14.72%
New energy market → hubei carbon market	-4.012	0.758	16.34%

The risk spilt on the carbon market and energy markets (q= 0_05)

	CoVaR	ΔCoVaR	%ΔCoVaR
Carbon markets, new energy markets	-3.596	0.348	7.86%
New energy market, carbon market	-13.078	2.053	16.35%