Margin Determination of Au(T+D) Contract Based on VaR-GARCH Model

摘要：

Recent years have seen a striking increase in investor interest in gold.Many investors are engaging in the transaction of Au(T+D),one of the gold products trading in the Shanghai Gold Exchange.In order to control risk of the market,SGE should set reasonable margin level for Au(T+D) contract,because the transaction of the gold product is based on margin.A VaR-GARCH-GED model is built up to provide SGE a method to determine the reasonable margin level of Au(T+D) contract.

关键词： Determination Margin Au(T+D) Contract VaR-GARCH-GED Model

作者: Xiutian Zheng Qiang Cui

作者单位: School of Statistics and Mathematics,Zhejiang Gongshang University,Hangzhou,Zhejiang province,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 931-936

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）