A Study on Optimal Margin Ratio of Shanghai and Shenzhen 300 Index Futures -Based on GARCH-VaR Model

摘要：

In this paper, we study Shanghai and Shenzhen 300 Index, and then establish the model of stock index futures margin based on the GARCH-VaR model. Our main methods are normality test, stationary test and cluster test of the return rate. The empirical results show that the return rate of Shanghai and Shenzhen 300 Index is not normally distributed with an obvious Character of a fat tail and cluster properties. Finally, we also compare the two different Margin Ratios calculated by the model of the risk of price coefficient and EWMA, and we prove that GARCH-VaR model is suitable to capture the distribution of income, avoid a serious underestimation of the proportion of margin, and thus reduce the risk to a limited extent.

关键词： stock index futures margin GARCH-VaR

作者: LI Yanlin LI Hongmei JIA Dongdong

作者单位: College of Economic and Management, North China University of Technology, Beijing, P.R.China, 100144 College of Science, North China University of Technology, Beijing, P.R.China, 100144

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 546-552

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）