【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。更多还原

【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.更多还原