Environmentally responsible (‘green’) firms have important asset pricing implications. Whilst green firms’ performance has been formally studied in terms of returns and pricing (Bolton and Kacperczyk, 2022; Pástor et al., 2022), far less is known about their volatility. We analyze the volatility of green and brown firms from 2012 to 2021, through the multiple lens of GARCH, machine learning, and historical volatility. The unconditional volatilities of brown and green firms are similar. The forecasting of volatility, however, differs sharply between green and brown firms: it is much harder to forecast green firms’ volatility.

中文翻译：

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评估绿色企业的波动性

对环境负责（“绿色”）的公司具有重要的资产定价影响。虽然绿色企业的绩效已在回报和定价方面得到正式研究（Bolton 和 Kacperczyk，2022；Pástor 等人，2022），但对其波动性知之甚少。我们通过 GARCH、机器学习和历史波动性的多重视角分析了 2012 年至 2021 年绿色和棕色公司的波动性。棕色和绿色公司的无条件波动性相似。然而，绿色公司和棕色公司对波动性的预测存在很大差异：预测绿色公司的波动性要困难得多。