Research On The Dynamic Margin Of Securities Margin Trading In Stock Market Based On GARCH-VaR

Securities margin trading,a mature business model in overseas capital markets,is the significant foundation of healthy development of capital markets.It is a kind of credit transaction essentially,which allows investors to borrow funds or securities from securities firms to make profit.Faced with market risk,liquidity risk,operational risk and credit risk,cash deposit is set to control and reduce the losses caused by market fluctuations.Therefore,scientific and reasonable margin ratio can not only improve the service efficiency of funds,but also monitor business risks caused by market fluctuations.Fixed margin system is currently used by domestic securities margin business,which fail to update with market fluctuations and make negative effect on the scale and efficiency.As a result,the establishment of proper dynamic margin trading system for our country is of great value on theoretical and practical degree.In this article,domestic and overseas research status was grasped through literatures firstly.Basic knowledge of securities margin trading and GARCH-VaR model was mastered,which benefitted the build of comprehensive index for securities margin trading liquidity.Three margin models taking only market risk,market and liquidity risk superposition,market and liquidity risk combination into account was built respectively with GARCH cluster model and VaRmethod.Then,empirical analysis on underlying security Vanke A of Shanghai Stock Exchange was conducted to verify the feasibility of the novel dynamic margin model.Finally,superiority and relevant supplementary measures of the dynamic margin model were further elaborated,along with suggestions for risk assessment and management of securities margin trading.