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本文同时考虑期货品种和合约的流动性,构建了指标L’,将流动性风险纳入GARCH-VaR模型中,从而建立交易保证金动态设置模型。采用豆油期货数据,分别实证研究了不考虑流动性风险、考虑流动性指标L和新的考虑流动性指标L’的动态期货交易保证金模型。实证结果表明,指标L’的模型优于另两种模型,是相对合理全面的动态交易保证金模型,是比较合理全面的模型。
In this paper, we consider the liquidity of futures and contracts and construct the index L ’, which brings the liquidity risk into the GARCH-VaR model and establishes the dynamic setting model of trading margin. Based on the soybean oil futures data, the paper studies the dynamic futures trading margin model without considering the liquidity risk, considering the liquidity index L and the new liquidity index L ’respectively. The empirical results show that the index L ’model is superior to the other two models, which is a relatively reasonable and comprehensive dynamic trading margin model, which is a more reasonable and comprehensive model.