Setting the Margin Level of Stock Market in China-An Empirical Research Based on Extreme Value Theory

被引：0

作者：

Kong Xiangzhi ^{[1
]}

Wang Yanqing ^{[1
]}

机构：

[1] E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

来源：

PROCEEDINGS OF THE 2009 INTERNATIONAL CONFERENCE ON PUBLIC ECONOMICS AND MANAGEMENT (ICPEM 2009), VOL 5: STATISTICS AND METHODOLOGY | 2009年

关键词：

margin trade; margin level; extreme value theory; VaR; ARMA-GARCH;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The problem of Margin level is the key issue of margin trading. The ratio of margin trading can be set based on the VaR of stock market. We use extreme value theory (EVT) for estimating the tail of the residual distribution of the ARMA-GARCH model. Our method for estimating VaR can overcome the errors of non-independent distribution estimated on EVT. We choose shanghai stock index and other three stocks of different volatility as empirical example. The result can be a reference as the ratio of margin trading in China.

引用

页码：208 / 212

页数：5