The carbon emission trading system is one of the important ways to achieve carbon peak and neutrality goal in China. This paper takes China’s five carbon emissions trading pilots as the object to study the volatility of China’s carbon emissions trading prices. Using the established GARCH-BP composite model, the volatility characteristics of the carbon trading price return rate were analyzed. The results show that the five carbon trading pilots all have the characteristics of volatility clustering, and the volatility is relatively long. Among the five carbon trading pilots, only the yield of the Guangdong carbon trading market is positively correlated with risk, and there is no risk premium in the other four pilots. There is still asymmetry in the volatility of Guangdong carbon trading price yield. The asymmetry of the other four pilots is not significant. In terms of volatility characteristics, the Guangdong carbon trading market has the highest degree of development. To promote carbon peaking and carbon neutrality as early as possible, it is necessary to further improve the policy regulation system of the national carbon trading market, and scientifically formulate carbon quota allocation mechanisms, and improve the price control mechanism in the carbon trading market, and innovate and develop carbon financial derivative products.