基于多元GARCH-VaR的期货组合保证金模型及其应用研究

Futures Portfolio Margin Model and It's Application Based on MVGARCH-VaR

提出了确定保证金的非线性风险对冲原理、整体风险覆盖原理和动态预测原理,借助多元GARCH(1,1)模型所预测出的多种期货组合的协方差矩阵,计算该期货组合的波动值,并结合风险价值(Value-at-Risk,VaR)思想,建立基于多元GARCH-VaR的多种期货合约组合市场风险评价模型,并利用该模型计算大连商品交易所多种期货合约组合的保证金。本模型的特点一是通过保证金确定的非线性风险对冲原理,利用多元GARCH(1,1)模型在预测风险时对风险进行非线性对冲,解决了SPAN和TIMS系统对组合风险的直接线性相加减,导致预测值不精确问题。二是通过整体风险覆盖原理应用VaR模型计算整体市场风险,应用VaR模型计算任意期货合约组合的整体市场风险,满足了市场监管对整体风险覆盖的需要。三是通过动态预测原理,利用多元GARCH(1,1)模型对期货组合的风险进行预测,准确反映了期货价格时间序列具有波动聚集效应和时变方差效应,保证了预测的准确性。实证结果表明,本模型在保证较高风险防范能力的基础上可降低保证金的收取水平,为期货交易市场价格波动程度的衡量及浮动式保证金的确定方法提供了新的思路。

This paper put forward principle of risk nonlinear hedge, integrated risk cover and dynamic risk anticipating for margin setting, and use the GARCH（ 1,1 ） -BEKK model to anticipate the variance-covariance matrix of futures portfolio, calculate the fluctuation of the portfolio and combine the thoughts of Value-at-Risk to build a risk appraising model for futures portfolio on the basis of MVGARCH-VaR and use the model to calculate the margin of futures exchange. The character of the model is firstly that we put forward the principle of nonlinear risk hedge in margin setting, when using the MVGARCH（ 1 , 1 ） to anticipate risk of futures portfolio, we hedge the nonlinear risk of the futures portfolio and solve the problem of the comprehensive risk and the non-linear risk hedge which the SPAN and TIMS system can＇ t solve. Secondly, we put forward the principle of integrated risk covering in margin setting, we use the VaR model to calculate every position of every portfolio＇ s risk, this meets the futures＇ exchanges＇ needs. Thirdly, we put forward the principle of dynamic anticipating in margin setting, using the MVGARCH（ 1,1 ） to anticipate risk of futures portfolio, accurately reflect the clustering effect and time-varying variance effect sufficiently, so the accuracy is improved. The results of the empirical tests shows that the margin level on the basis of mulitvariance GARCH-VaR will reduce the margin while we don＇ t increase the risk.