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The European Union Allowance (EUA)-driven carbon emissions trading market is selected as a research object. First, the one-component and two-component Beta-Skew- t -EGARCH models are used to depict the characteristics of the return series, considering return series features such as volatility clustering and asymmetry. Moreover, the extreme VaR risk value is directly estimated. Then, the POT method of extreme value theory is applied to describe the extreme tail characteristics of the return series, and the one-component and two-component Beta-Skew- t -EGARCH-POT models constructed, to estimate the extreme VaR risk value, once again. Finally, the performance of each model in extreme VaR risk measurement is tested using six indicators that include the relative error rate, independence test, and dynamic quantile test. The empirical results show that the two-component Beta-Skew- t -EGARCH-POT model performs better in extreme risk measurement, inferring that this model is better suited to describing risk in the carbon market.

Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-POT model