摘要
大连商品交易所大豆一号期货合约长期实行静态的保证金制度,但在国际期货市场中动态保证金制度是未来的发展趋势。国内目前缺乏对于大豆期货保证金制度的深入研究,在估计期货收益波动率时也没有使用滚动测算的思想。从基于GARCH和EGARCH两种模型、T分布和NORMAL两种分布假设的四种保证金设定方法,以及大豆一号合约收益数据的实证结果来看,大豆一号现行的静态保证金制度已不适应市场发展,保证金比例总体偏高,但在市场剧烈波动时又略显不足,综合考虑准确性和效率,以及投资者的交易成本EGARCH-T是最佳的保证金计算方法。
The margin system of the soybeanlfutures contract in the DaLian commodity exchange is static, but in developed future markets dynamic margin system is in fashion. Up till now, there is little research about the margin system of soybean I. Four dynamic margin setting methods based on GARCH or EGARCH model, T or NORMAL distribution hypothesis are applied to the empirical test using soybeanIyield data. According to the result, the static margin system is not suitable for the soybean I＇s development. As a whole, the margin level is higher than it needs, but it is a little lower when the market changes hard. Considering accuracy, efficiency and the transaction cost of future investor, the EGARCH-T model is the best.
出处
《运筹与管理》
CSCD
2007年第1期107-111,共5页
Operations Research and Management Science
