CAJ | 학술논문

使用EWMA、ARMA-EGARCH和极值理论三种方法实证研究香港恒生股指期货跨期套利保证金水平的设置的合理性,从而为即将推出的沪深300股指期货保证金设置提供理论支持和实证依据.实证结果表明三种方法设置的保证金水平基于稳健性、市场流动性和可操作性三方面考虑各有利弊：其中ARMA-EGARCH模型方法最优,相对准确估计了跨期套利交易的风险;EWMA方法简单并且易于操作,但是采用固定的衰减因子可能造成对风险的错误估计,导致对于市场风险估计不足;极值理论是目前测度极端风险最稳健的方法之一,但是受到样本规模约束,不易广泛应用到实际操作中,并且在高置信水平下可能高估市场风险,造成市场交易成本过高.
사용EWMA、ARMA-EGARCH화겁치이론삼충방법실증연구향항항생고지기화과기투리보증금수평적설치적합이성,종이위즉장추출적호심300고지기화보증금설치제공이론지지화실증의거.실증결과표명삼충방법설치적보증금수평기우은건성、시장류동성화가조작성삼방면고필각유리폐：기중ARMA-EGARCH모형방법최우,상대준학고계료과기투리교역적풍험;EWMA방법간단병차역우조작,단시채용고정적쇠감인자가능조성대풍험적착오고계,도치대우시장풍험고계불족;겁치이론시목전측도겁단풍험최은건적방법지일,단시수도양본규모약속,불역엄범응용도실제조작중,병차재고치신수평하가능고고시장풍험,조성시장교역성본과고.
Using the data of Hang Seng index futures, this empirical research investigates EWMA method, ARMA- EGARCH model and EVT in order to provide a scientifically prudent and practically available approach for the margin setting of calendar spread trading in China. The results show that the three models above have their own advantages and disadvantages, taking the stability, market liquidity and practical feasibility into consideration. ARMA-EGARCH has the best pefformance in both accuracy of risk estimation and feasibility of practical implementation. EWMA is simple in calculation and easy to be put into practice, but it may conduct an underestimation of the market risk due to the inaccurate decay factor in the model. EVT is prudent, but not easy to be widely applied in practice due to the requirement for chronic data accumulation. Moreover, an over estimation of the market risk under a high confidence level would probably cause an expensive transaction cost. To a certain extent, the research work provides theoretical and empirical support for the margin setting of the coming CSI300 index futures.