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基于VAR-GARCH模型的动态期货保证金设计 被引量:3

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摘要 本文在GARCH模型思想的基础上,运用VaR风险管理的方法,建立以VaR-GARCH为基础的期货动态保证金设定模型,并应用该模型对大连商品交易所的大豆期货合约的保证金水平进行了研究,实证结果认为VaR-GARCH模型较现行的静态保证金系统更有效,对我国保证金制度的完善提供一定帮助。
作者 龚晨晨
出处 《科教文汇》 2007年第08X期142-143,共2页 Journal of Science and Education
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