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。
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.
出处
《河南工业大学学报（社会科学版）》
2010年第4期67-70,共4页
Journal of Henan University of Technology:Social Science Edition
