有偏型EWMA的股指期货保证金设定的实证研究  

Empirical Study on the Margin Setting of Index Futures:Based on Asymmetric EWMA Estimator

作　　者：侯隽[1] 

机构地区：[1]四川大学工商管理学院

出　　处：《财经科学》2009年第4期42-49,共8页Finance & Economics

基　　金：四川省教育厅社会科学研究课题(SA04-025)

摘　　要：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。In this paper, we improve the EWMA Futures Margin based on normal distribution assumption and propose a new model of futures margin based on skewed EWMA estimator which based on the asymmetric laplace distribution that is sound to capture leptokurtosis and fat- tail. At the same time, we use Cornish- Fisher method to determine futures price volatility factor, to overcome the forecast error. Through applying the model into setting the margin levels of index futures, the result reflects that it works better in economizing on transaction costs when same level of security.

关 键 词：期货保证金 保证金模型 EWMA 非对称LAPLACE分布 

分 类 号：F224[经济管理—国民经济] F713.35