典型事实约束下的沪深300股指期货动态保证金设定研究——基于APARCH-GPD模型的VaR度量  

A Study on Dynamic Margin Setting for CSI300 Futures Under Stylized Facts:The VaR Prediction Based on APARCH-GPD Model

作　　者：王宣承[1] 陈艳[1] 

机构地区：[1]上海财经大学统计与管理学院

出　　处：《投资研究》2014年第1期46-56,共11页Review of Investment Studies

基　　金：国家自然科学基金资助项目(71101083;71271128;71331006);上海市教育委员会科研创新项目(12ZZ072);上海财经大学博士研究生创新基金(CXJJ-2011-441)

摘　　要：本文提出了一种新的设定股指期货动态保证金水平的APARCH-GPD模型。它结合了APARCH模型良好拟合收益序列集丛性和尖峰厚尾分布的能力,以及GPD分布充分拟合尾部残差的特点,可提供准确的VaR风险度量。实证结果表明,使用该模型估计沪深300股指期货的保证金水平,其风险覆盖效果明显优于APARCH-norm模型、APARCH-t模型和APARCH-GED模型。研究还发现,目前股指期货市场的保证金水平偏高,具有下调空间,且空头头寸面临的价格波动风险要小于多头,因此可以对不同头寸设定差异化的保证金水平。APARCH-GPD model has been proposed in this paper as a new way to set dynamic margin of stock index futures. It combines the advantage of APARCH model to measure the time-varying volatility and leptokurtic distribution of returns, and al- so the advantage of GPD to model the tail distribution of the APARCH processed annotations. In order to provide an accurate measure of VaR, we use APARCH-GPD model to estimate the margin levels of CSI 300 futures, which achieves better perfor- mance of risk coverage than APARCH-norm model, APARCH-t model and APARCH-GED model. From the empirical evi- dence, we also find that the current margin level of CSI 300 futures market is overrated and therefore could be decreased, and the price volatility risk on short positions is less than that on long positions. Thus, differentiated margin levels could be set ac- cording to the different positions.

关 键 词：典型事实 股指期货 极值理论 APARCH模型 

分 类 号：F832.51[经济管理—金融学]