摘要
使用EWMA、ARMA-EGARCH和极值理论三种方法实证研究香港恒生股指期货跨期套利保证金水平的设置的合理性,从而为即将推出的沪深300股指期货保证金设置提供理论支持和实证依据.实证结果表明三种方法设置的保证金水平基于稳健性、市场流动性和可操作性三方面考虑各有利弊:其中ARMA-EGARCH模型方法最优,相对准确估计了跨期套利交易的风险;EWMA方法简单并且易于操作,但是采用固定的衰减因子可能造成对风险的错误估计,导致对于市场风险估计不足;极值理论是目前测度极端风险最稳健的方法之一,但是受到样本规模约束,不易广泛应用到实际操作中,并且在高置信水平下可能高估市场风险,造成市场交易成本过高.
Using the data of Hang Seng index futures, this empirical research investigates EWMA method, ARMA- EGARCH model and EVT in order to provide a scientifically prudent and practically available approach for the margin setting of calendar spread trading in China. The results show that the three models above have their own advantages and disadvantages, taking the stability, market liquidity and practical feasibility into consideration. ARMA-EGARCH has the best pefformance in both accuracy of risk estimation and feasibility of practical implementation. EWMA is simple in calculation and easy to be put into practice, but it may conduct an underestimation of the market risk due to the inaccurate decay factor in the model. EVT is prudent, but not easy to be widely applied in practice due to the requirement for chronic data accumulation. Moreover, an over estimation of the market risk under a high confidence level would probably cause an expensive transaction cost. To a certain extent, the research work provides theoretical and empirical support for the margin setting of the coming CSI300 index futures.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2008年第8期132-138,170,共8页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(70673100
70621001)
中科院研究生院科研启动基金
