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中文摘要：
针对上海燃料油期货市场，基于VaR方法，建立了单个期货合约的VaR—GARCH族动态测量模型。实证结果表明，该模型可以较准确地预测未来价格波动范围，并具有较好的风险预警、风险监控作用。针对燃料油期货的现行保证金比例，本文给出修正后的保证金比例并提出了一种新型的保证金设定模型，该模型结合了国内、外确定期货保证金方法的优点，在有效地控制和规避市场风险的基础上提高了资金使用效率。
英文摘要：
In this paper, we build a dynamic VaR-GARCHs evaluation model of the single futures contract in Shanghai fuel oil futures market was given. Based on VaR, the dynamic VaR-GARCH evaluation model can effectively forecast the range of volatility in the future well and truly. Furthermore ,it is workable in forewarning and monitoring market risks. Considering actual futures margin rate in Shanghai fuel oil futures market, a new rate setting model （RCM） was obtained with corrected futures margin rate. RCM absorbs the advantages of margin rate setting techniques used at home and aborad. As a result, it can effectively control and avoid market risks, thus increasing the efficiency of fund utilization.
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