期货价格极端波动下谨慎动态保证金水平的设定——基于极值理论的实证研究

Setting up of Prudent Dynamic Margin under Extreme Volatility of Futures Price:An Empirical Research Using Extreme Value Theory

动态保证金是国际上期货保证金制度发展的趋势。基于极值理论,应用EGARCH模型,对沪铜、郑州硬麦和大连大豆的连续期货合约的报酬率序列做了动态保证金设定的实证研究,并与现行的保证金水平以及其他保证金设定方法做了比较。实证结果表明,设定的谨慎动态保证金能够对期货价格极端波动下的实时风险进行有效的控制。

Dynamic margin is development trend of futures margin internationally. Dynamic margin of return rate series of continuously future contracts of three futures （copper in SHFE,hard wheat in ZCE and soybean in DCE） was studied empirically by EVT-based EGARCH model. The margin from this research was compared with the margins obtained by other methods. The result shows that Prudent dynamic margin could control risk on time efficiently under extreme volatility of futures price.