The Model Of Future Margin Based On VaR

The trade system of the future margin is an important characteristic of the future market. With the development and perfection of the future market of our country, the current and static future margin system does not adapt to the development of the future market. Adopting the dynamic future margin will be a trend of the future market. In order to confirm and establish models for the effective future margin of future of our country, this text basing the characteristic of future price of data, adopt based on Garch -VaR model is it carry on settlement of future margin study to come. The work and conclusions of this paper are as follows:Firstly, this article introduced the futures market elementary knowledge, The trade system of the future margin research present situation. Then , introduced VaR in the financial market risk control application and characteristic of the futures market, this article selects based on Garch model VaR takes the method of The trade system of the future margin.Secondly, carrying on the statistical analysis to the forward price data, discovered the future price data has the intense ARCH effect. Therefore this article uses the Garch model to carry on the description, namely dynamic VaR.Thirdly, the model forecast of the trade system of the future margin is sensitive. It may act according to the different risk degree formulation reasonable level. Both may in the risk big time prompt guard risk, and may be small in the risk is reduces. The trader can use fund in effective and increase the fund the fluidity. The expansion futures market can release lever effect and enhance attraction of the future market.