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| 文章编号：1672-3104(2004)04-0469-04 |
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我国天然橡胶期货市场保证金水平设定研究 |
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侯晓鸿,许颖宜 |
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（上海期货交易所博士后流动站,上海,200122;长沙天和工程机械有限公司,湖南长沙,410000） |
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| 摘 要： 运用GARCH模型和EWMA模型动态地计算了我国天胶期货市场的保证金水平,并以防范信用风险和降低额外交易成本为评价指标,与现行的按固定百分比收取保证金的方式进行了对比分析。结论认为:(1)现行的按5%收取保证金方式不仅具有较大的额外交易成本,而且还潜在着信用风险;(2)由于天胶期价波动频繁,获得一个既能确保会员或客户违约概率小,又能降低额外交易成本低、长期不变的固定保证金收取水平是非常困难的;(3)通过增加每日结算次数来降低保证金收取水平可能是一条比较现实的选择。 |
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| 关键词： 天胶期货;保证金水平; GARCH(1,1); EWMA |
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On the margin-setting methodology of China rubber futures |
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HOUXiao-hong,XUYing-yi |
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（PHD.OF SHFE Postdoctoral Programme, Shanghai 200122, China;
Changsha Timefuture Co.,Ltd, Changsha 41000, China） |
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| Abstract: Although the margin system is the futures exchange’s first line of defense against default risk , overcharge is of paramount importance to futures exchange. It is because the higher is the overcharge, the greater is the investor’s opportunity cost of investing in the futures market. In this paper, after exponentiallyweighting moving averages, GARCHapproaches are applied to China rubber Futures ,and we then use the measure of prudentiality and overcharge to evaluate different margin setting methodologies. Keeping the same prudentiality level, it is shown that the one used in China futures market by and large gives the highest average overcharge. |
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Key words: rubber futures; margin; GARCH approach; EWMA |
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