Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS

► Extreme value theory and GARCH are used to measure the Value at Risk (VaR) for the spot and futures markets in EU ETS. ► The downside risk is higher than the upside risk. ► Risks are higher in the first phase than in the second phase. ► Risks are similar during the same phase. ► Dynamic VaR based on GARCH and EVT can effectively measure the EU ETS market risk.