Reasonable Setting Of China's Stock Index Futures Mrargin

In recent years,CICC has adjusted the ratio of futures margin several times according to market transactions,reflecting that the margin needs to be adjusted according to changes in the market environment.Under the background of the urgent need for reform of China's financial futures market system and system,this paper takes risk value as the basis of dynamic margin,constructs GARCH-MIDAS-VaR model to calculate the dynamic margin ratio of financial deriva tives,and discusses the rationality of calculating the dynamic margin by mixing model.In this paper,we first use the Johansen model to find that there is a long-term equilibrium relationship between the stock price of the stock index period.The t-Copula function fits the spot yield distribution during the fitting period,showing the tail correlation The comprehensive indicates that the spot has an impact on the futures fluctuation risk.Taking the "stock disaster" as the demarcation point,the stock index futures sample yield series is divided into three stages.Each stage implements the stock index futures high and low frequency yield series mixing and the period spot rate series mixing,which can be used as the futures conditioa The difference is long-term fluctuation and short-term fluctuation.According to the VaR and CVaR values,the dynamic margin ratio is set.It is found that the dynamic margin ratio set by the GARCH-MIDAS-CVaR model is more reasonable.The correlation between the spot stocks can reduce the risk of futures fluctuations and different markets.The performance of the stage is different.Finally,the margin ratios under Monte Carlo simulation and historical simulation are calculated.It is found that these two methods are easy to underestimate the risk of fluctuation.According to the empirical analysis,the dynamic margin ratio set by the GARCH-MIDAS-CVaR model can effectively fit the fluctuation risk of the futures market,and has good application value.On this basis,the static margin system can be dynamically reformed and continuously improved.Financial derivatives market risk control.