The Research On Moving Adjust Model Of Margins In Futures Trade

Abstract: In this paper, based on the idea of EWMA model and GARCH model, combined the idea of SPAN system, using the important functions of the margin in the future markets as the consideration factors which remedy the largest lose in tomorrow and guarantee the trade running normally, making use of venture administer methods of VaR, And build the forecasting model of the futures price based on GARCH-EWMA. Based on the forecasting of the alteration extent and the ratio for the price of contracts, using the Newton Interpolation to build the function of fluctuate coefficient and the moving margin model. Finally, combining the forecasting model of futures price and the function of the Fluctuant Coefficient and building the margin moving model for the futures market. It could determine more proper ratio of margin while satisfying the risk coefficient and the confidence level, and provide a new method for determine the margin level in the futures market.The contributions and characteristics of the paper are: 1) It made use of the GARCH model to determine the key parameter and attenuation factor of EWMA model, and this will solve the problem which assign the decay factors by person causing the model with strong factors of manmade.2) With the aid of Newton Interpolation method, it obtain the fluctuant coefficient function, and the curve function for the degree of change of the future contracts price. This model solves the problem that determines sequence function only in the way of linear fit.3) Combining the forecasting model of futures price and the function of the Fluctuant Coefficient and building the margin moving model for the futures market. It is assuring stronger ability for countermeasure the risk while reducing to the lowest possible level of margin .4) Found out the wrong suppose in the Hkex, which they suppose the R.V obey to be the Normal School, and through the demonstration analyze, it point that the model is unreasonable to a certain extent.5) Menstruate the 16 contracts of soybean and soy meal of their decay factor respectively. It is easy to find that the decay factor is notable different from different time or different kinds. Therefore, it solves the problem that adopts one changeless model to forecast the different future commodities. This makes the forecasting model more pertinence.6) Testified the forecasting model reasonability by the way both in risk penetrate and in margin level. It could reduce the margin level while it doesn't increase the risk.