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| 上海期铜保证金水平设计的实证研究 | |
| 引用本文： | 鲍建平,王乃生,吴冲锋.上海期铜保证金水平设计的实证研究[J].系统管理学报,2005,14(1):33-36. |
| 作者姓名： | 鲍建平 王乃生 吴冲锋 |
| 作者单位： | 1. 上海交通大学,金融工程研究中心,上海,200052;上海期货交易所,上海,200122 2. 上海期货交易所,上海,200122 3. 上海交通大学,金融工程研究中心,上海,200052 |
| 摘 要： | 对上海期货市场铜期货合约的现行保证金水平和收取方式进行了分析和评价,应用EWMA和GARCH模型进行实证分析。研究发现,现行静态的保证金收取方式已不太适合铜期货市场的发展,现行保证金比例总体偏高,但在市场剧烈波动时又略显不足。指出使用EWMA和GARCH方法动态的计算铜期货合约的保证金水平是合适的。 |
| 关 键 词： | 铜期货 保证金 期货市场 |
| 文章编号： | 1005-2542(2005)01-0033-04 |
| 修稿时间： | 2004年3月31日 |
The Empirical Study on the Margin Setting of the Copper Futures in the Shanghai |
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| BAO Jian-ping,WANG Nai-sheng,WU Chong-feng.The Empirical Study on the Margin Setting of the Copper Futures in the Shanghai[J].Systems Engineering Theory·Methodology·Applications,2005,14(1):33-36. | |
| Authors: | BAO Jian-ping WANG Nai-sheng WU Chong-feng |
| Institution: | BAO Jian-ping~ |
| Abstract: | The margin level and the methods of receipts that are adopted by the copper futures contract in the Shanghai futures exchanges are investigated. And the EWMA and GARCH models are applied to the empirical test. The results display, the static method of the margin receiving is not well to the development of the copper futures markets. As a whole, the margin level is higher than it needs, but it is little lower when the markets change hard. It is well to use the EWMA and GARCH models to compute the margin level of the copper futures. |
| Keywords: | copper futures margin futures markets |
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