NDLI: Stock Index Futures Margin Level Settings by Hill Estimation and Empirical Analysis

Content Provider	IEEE Xplore Digital Library
Author	Manqi Wu Sulin Pang
Copyright Year	2010
Abstract	The article does empirical research on the margin level setting of Shanghai and Shenzhen 300 index futures. First of all, through the trend comparison chart of index and simulation index futures in 100 trading days, we obtain the conclusion that index data can instead of index futures. Then, 482 full samples’ daily returns is to descriptive statistical analysis and test of normality, we obtain that it doesn’t obey normal distribution, furthermore, it has a "peak and fat-tail", the left tail down the possibility of large, up the possibility of the right tail is large, To the tail, left tail has down possibility while right tail has up possibility, right tail has more risk than left. Secondly, we use extreme value theory which good at researching tail’s distribution characteristics and the Hill estimation method to solve the tail index estimates of full samples, left and right tail, and we obtain the margin level is 3.5717%. Thirdly, after the estimated margin level and actual historical price volatility (the absolute value of index returns) for comparison tests, we find that under the assumption of 0.01default rates, the margin level cannot cover 99% of price fluctuations, the result is low. Finally, we solve margin level’s coverage under different default rates and obtain that when default rate is equal to 0.03, the margin level can cover 97% of price fluctuations.
Starting Page	649
Ending Page	653
File Size	543601
Page Count	5
File Format	PDF
ISBN	9781424491148
DOI	10.1109/CIS.2010.155
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-12-11
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Economics Fluctuations Hill estimation generalized extreme value distribution stock index futures Estimation Finance margin levels Data models Indexes extreme value theory Testing
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in