Work

Green Bond Index Prediction Based on CEEMDAN-LSTM

Year: 2022

Type: article

Abstract: Green bonds, which are designed to finance for environment-friendly or sustainable projects, have attracted more and more investors’ attention. However, the study in this field is still relatively limited, especially in forecasting the market’s future trends. In this paper, a hybrid model combining CEEMDAN and LSTM is introduced to predict green bond market in China (represented by CUFE-CNI High Grade Green Bond Index). In order to evaluate the performance of our model, we also use EMD to decompose the green bond index. Our empirical result suggests that, compared with EMD-LSTM and LSTM models, CEEMDAN-LSTM is the most accurate model in green bond index forecasting. Meanwhile, we find that indices from the crude oil market and green stock market are both effective predictors, which also provides ground on the correlations between the green bond market and other financial markets.

Source: Frontiers in Energy Research

DOI: 10.3389/fenrg.2021.793413

Authors: Jiaqi Wang, Jiulin Tang, Kun Guo

Institutions: University of Chinese Academy of Sciences, Chinese Academy of Sciences

Language: English

Topic: Stock Market Forecasting Methods

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

SDG: Climate action

Open Access status: gold

Estimated APC paid: $2,490