欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
本文基于我国国债期货真实数据,依据SPAN保证金分析系统的方法,采用GARCH-VaR建模,给出了合理设置我国国债期货保证金水平的规范性分析。实证结果表明,我国国债期货合约所需保证金应在0.6%左右,低于现行最低交易保证金2%的要求,长期而言应降低保证金水平,提高投资者资金利用效率。
英文摘要：
Since its restart on September 6th 2013,China＇s government bond futures market has become an ever more attractive research field.Great importance has been attached to the futures margin level because it affects both investors and regulators.We apply an internationally accepted method—Standard Portfolio Analysis of Risk（ SPAN system） and formulate a GARCH-VaR model to conduct a normative analysis of the reasonable futures margin level.By using the actual data,we find that the reasonable level of China＇s government bond futures market ought to be about 0.6%,which is much lower than the current 2% level.In the long run we should lower the futures margin level.
同期刊论文项目
同项目期刊论文
期刊信息
位置：