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本文是对建立在正态分布假设的EWMA期货保证金模型的改进。文中引入基于非对称Laplace分布发展起来的有偏型EWMA方法,建立了新的期货交易保证金模型,较好地反映了期货合约价格序列有偏、厚尾的现象。同时采用cornish-Fisher(CF)方法确定出期货价格波动系数,降低了预测误差。将此模型应用到股指期货合约保证金水平的测定中,结果表明本研究所建立模型能够节省保证金的收取总量,预测结果较好。
This article is an improvement on the EWMA Futures Margin Model based on the assumption of a normal distribution. In this paper, a biased EWMA method based on asymmetric Laplace distribution is introduced to establish a new futures trading margin model, which better reflects the phenomenon of partial and thick tails in the futures contract price series. At the same time using cornish-Fisher (CF) method to determine the futures price volatility coefficient, reducing the forecast error. The model is applied to the determination of the margin level of stock index futures contracts. The results show that the model established in this study can save the total amount of margin deposit and the forecast result is better.