摘要
文章从期货品种的流动性和合约的流动性视角出发,采用了一种新的综合性流动性指标L,考虑流动性风险与市场风险的相关性,将流动性风险纳入GARCH-VaR模型中,并应用于交易保证金的动态设置。采用了豆油期货数据,分别实证了不考虑流动性风险、考虑流动性指标L(Demsetz模型)和考虑流动性指标L(新的综合性流动性指标)的动态期货交易保证金模型,结果表明,考虑流动性指标L的模型不仅在覆盖风险上优于另两种模型,也在降低保证金收取水平上占优势,是相对合理全面的动态交易保证金模型。
From the perspective of the liquidity of futures and contracts and considering the correlation between liquidity risk and market risk, a new comprehensive liquidity index L＇is incorporated into GARCH-VaR model which is used to set exchange margin for futures. Then, by using the data of Soybean oil futures, the empirical research investigates respectively the dynamic exchange margin model for futures containing non liquidity risk, containing the liquidity index L （Demsetz model） and containing the liquidity index L＇ （a new Comprehensive liquidity index）. Results show that the dynamic exchange margin model for futures containing the liquidity index L＇ is not only superior to the other two models in coverage of the risk, but also dominant in reducing the level of margin charge, so it is a relatively reasonable comprehensive model of dynamic exchange margin.
出处
《华东经济管理》
CSSCI
2010年第12期79-82,共4页
East China Economic Management
