Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory
作者: Yan ChenWenqiang Yu
作者单位: 1Business School, Hunan University,, Changsha 410082, China
2School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai 200433, China
刊名: Physica A: Statistical Mechanics and its Applications, 2020, Vol.544
来源数据库: Elsevier Journal
DOI: 10.1016/j.physa.2019.123207
关键词: Futures margin settingAsymmetric power ARCHGeneralized Pareto distributionPositionValue-at-risk
原始语种摘要: Abstract(#br)An asymmetric power autoregressive conditional heteroscedasticity with generalized Pareto distribution (APARCH-GPD) model is proposed in this study to determine the optimal margin level for the Hang Seng Index futures contracts on the Hong Kong Futures Exchange. This method requires two steps. First, the APARCH model is used to measure the time-varying volatility of futures contract returns. Then, the tail distribution of the residuals from APARCH model is estimated by the GPD on the basis of the extreme value theory. Value-at-risk is finally estimated and predicted by the APARCH-GPD model, and this is compared with the APARCH-t and EWMA models by backtesting historical return series. The experimental results show that the long trading position of the Hang Seng Index futures...
全文获取路径: Elsevier  (合作)
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关键词翻译
关键词翻译
  • GPD General Protocol Driver
  • extreme 极端的
  • futures 期货
  • trading 贸易
  • returns 返回粉末
  • autoregressive 自回归
  • volatility 挥发性
  • theory 理论
  • contract 契约
  • optimal 最佳的