An Empirical Research Of The Oil Future Margin Ratio In China

The article is attention to theimportment barrier of the risk control of oil future which will be listing transaction in the near future in China.We appraised the risk of oil future's transaction,one kind of the financial assets,found the theoretical level of oil future margin ratio and dynamic adjustment mechanism,to ensure the market stability,promote the pricing power of China in the international oil market,and provide basic material protection of oil in China.We studied the long-run equilibrium relationship between the oil future and spot,built the binary t-Copula model,found that not only exists highly linear and non-linear relationship between BRENT oil future and spot price and Shengli oil spot price,but also relatively higher tail-correlation,reaction to extreme events were more consistent,and the degree of coordination were higher.We constructed the GARCH-MIDAS-VaR model with 30min-return and day-return sequence of BRENT oil future,and included the oil spot factor of BRENT and Shengli in the model,separated the LongRunVar,ShortRunVar and Conditional Variance,which inferred the margin ratio of oil future based on GARCH-MIDAS-VaR.In additional,through Monte Carlo simulation with day-return sequence of BRENT oil future and spot and Shengli oil spot,we inferred the oil future's margin ratio.Finally,we get our final-conclusions by comparatively analysis of the two models above with multiple perspectives.We argued that the Exchange should focused on the transaction-risk's control of oil future when it rolled out firstly.So,it should reduce little liquidity in the beginning of transaction,and increase a certain percentage with the margin ratio,which will be downed when the market is stable enough.In particular,the margin ratio of the oil future in China shoule be setted about 9%,at the same time,Exchange should make some dynamic adjustment of the magin ratio by multiple perspectives' judgments,such as some extreme events' happened or transaction-environment were changed,but should be maintained between 9%and 11.47%,which will control the risk of transaction of oil future and maintain the liquidity of the market of oil future.