基于RiskMetrics模型的单个期货合约保证金比例设计

为了规避价格波动风险,期货交易所应该采取动态保证金设置方式。本文对单个期货合约的日收益序列建立了基于RiskMetrics的VaR模型,用滚动样本预测下一交易日的VaR值,而LR检验表明所建立的VaR模型能较好地测度价格波动风险。因此,下一交易日保证金比例可以设置为预测的VaR值和所规定的涨跌停板率的最小值,这样就能以相应的概率抵御该交易日价格波动带来的风险。

Margin Level Set in Single Future Contract based on RiskMetrics Model

In order to avoid the risks brought by price fluctuation, the future exchange shall adopt dynamic margin level setting. This paper applies RiskMetrics model to the daily returns of single contract, and predicts the VaR value of the next trading day by a rolling sample. The LR test shows that the established VaR model can better calculate the risks involved in price fluctuation. Hence, the margin level in next trading day can be set as the minimum value of the predicted VaR and regulated price limits, thus it can resist the risks brought by price fluctuation can be resisted.