MEASURING RISK IN ENVIRONMENTAL FINANCE
回顾环境金融中的数据和风险指数，通过估计条件波动率聚类来分析可持续性指数的环境风险，对管理可持续投资组合和开发相关金融产品有参考价值。
Abstract Environmental sustainability indices, such as the Dow Jones Sustainability Indexes and the Ethibel Sustainability Index, quantify the development and promotion of sustainable social, ethical and environmental values in the community. Moreover, such indices provide a benchmark for managing sustainability portfolios, and developing financial products and services that are linked to sustainable economic, environmental, social and ethical criteria. This paper reviews the existing data and risk indices in environmental finance. The main purpose of the paper is to analyse existing sustainability and ethical indices in environmental finance, and evaluate empirical environmental risk by estimating conditional volatility clustering that is inherent in these indices. Financial volatility models are estimated to analyse the underlying conditional volatility or time‐varying risk that is inherent in alternative environmental sustainability indices. Volatility clustering is observed for most series, but some extreme observations are also evident. The log‐ and second‐moment conditions suggest that valid inferences can be drawn for purposes of sensible empirical analysis.