| 期货市场动态保证金模型实证研究及应用启示 |
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| 引用本文： | 申鹏岳,齐岳.期货市场动态保证金模型实证研究及应用启示[J].河南工业大学学报(社会科学版),2010,6(4):67-70. |
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| 作者姓名： | 申鹏岳 齐岳 |
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| 作者单位： | [1]郑州商品交易所,河南郑州450008 [2]南开大学商学院,天津300071 |
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| 摘 要： | 以期货保证金设定方式为研究对象，基于EWMA、GARCH方法和VAR风险价值法，依据对收益序列分布假设的不同，全面构建了两大类9种动态保证金模型，并对3家商品交易所的4个上市品种进行了实证研究。依据风险覆盖率和平均保证金水平两项评价标准，甄选出了表现最优的模型。
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| 关 键 词： | 动态保证金 单指数加权移动平均 广义自回归条件异方差 风险价值 |
AN EMPIRICAL STUDY OF DYNAMIC MARGIN MoDEL IN FUTURES MARKET AND APPLIED INSPIRATION |
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| SHEN Peng-yue,QI Yue.AN EMPIRICAL STUDY OF DYNAMIC MARGIN MoDEL IN FUTURES MARKET AND APPLIED INSPIRATION[J].Journal of Henan University of Technology:Social Science Edition,2010,6(4):67-70. |
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| Authors: | SHEN Peng-yue QI Yue |
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| Institution: | 1. Zhengzhou Commodity Exchange, Zhengzhou 450008, China; 2. Business College, Nankai University, Tianjin 300071, China) |
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| Abstract: | The paper targets at studying the pattern of setting margin in futures market and builds nine models of dynamic margin in two categories based on the methods of EWMA, GARCH, VAR and different hypothesis of the return series distribution. It conducts an empirical research on 4 listed species in 3 commodity exchanges and picks out the best model of performance according to 2 standards of evaluating risk - coverage rate and the average level of margin. |
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| Keywords: | dynamic margin EWMA GARCH VAR |
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