| 基于GARCH类模型-POT的股指期货保证金水平设置 |
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| 引用本文： | 徐加强,王波,申希栋.基于GARCH类模型-POT的股指期货保证金水平设置[J].数学理论与应用,2013(4):47-53. |
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| 作者姓名： | 徐加强 王波 申希栋 |
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| 作者单位： | 上海理工大学管理学院,上海200093 |
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| 摘 要： | 由于股指期货持有空头头寸的投资者面临的风险明显高于持有多头头寸的投资者，因此应该对股指期货保证金分多头和空头分别设置．鉴于我国正处于推出金融衍生产品的探索阶段，交易的安全性和稳定性最为关键．本文通过分析研究，结合中金所设置股指期货保证金水平的做法，选取违约概率为0．001时保证金水平，将沪深300股指期货合约的保证金水平设置区间分别确定为：全尾9．75％，12．48％]、多头7．53％，8．57％]、空头9．5％，13．31％]．为了减小违约概率，建议中国金融期货交易所将沪深300股指期货的保证金设置水平调整为14％-16％的水平．
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| 关 键 词： | 沪深300指数 VaR 极值理论 POT模型 GARCH类模型 |
Based on GARCH- POT Model to Set the Level of Stock Index Futures Margin |
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| Xu Jiaqiang Wang Bo Shen Xidong.Based on GARCH- POT Model to Set the Level of Stock Index Futures Margin[J].Mathematical Theory and Applications,2013(4):47-53. |
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| Authors: | Xu Jiaqiang Wang Bo Shen Xidong |
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| Institution: | Xu Jiaqiang Wang Bo Shen Xidong ( Business school of University of Shanghai for Science and Technology, Shanghai 200093, China) |
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| Abstract: | Since in the stock index futures market, the risks for the short position investors are significantly higher than for the long position investors, the initial margin should be set separately for different investors. For this pur- pose, by setting the probability of default as O. 0001, the margin level intervals of the CSI 300 index futures contract are determined as 9.75%, 12. 48% ] for full tail, 7.53%, 8.57% ] for long position and 9.5%, 13.31% ] for short position. In order to reduce the probability of default, the China Financial Futures Exchange is suggested to set the margin of the Shanghai and Shenzhen 300 stock index futures to the level of 14% - 16%. |
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| Keywords: | Shanghai and Shenzhen 300 index VaR Extreme value theory POT model GARCH model |
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