以極值理論剖析台股指數期貨保證金水準估計之研究

本文以台股指數期貨為研究對象，分別應用非條件與條件級端值分配，補捉期貨報酬率尾端分配厚尾及異質變異特性，推估期貨的理論保證金水準，提供保證金水準設定的建議。實證結果發現，期貨日報酬率尾端分配屬於Frechet分配，且具有異質變異數的特性。尾端參數的穩定性檢定顯示，期交所可以對買進與賣空部位設立相同的保證金水準，然而不同期貨合約的保證金水準應該依據其風險特性而有所差異。條件極端值分配所估計的保證金水準可適時反應期貨部位當下的風險特性，因此，期交所若能採取動態的保證金政策，則風險控管的績效會更好。若在訂定保證金時能夠放寬預期違約機率到0.01，則理論的保證金水準可以大幅降低，投資人的交易成本可以降低。此時，仍然可以經由漲幅限制管理期貨的價格風險，然而對於金融期貨與電子期貨應提高其保證金。

關鍵字

投資報酬；保證金

並列摘要

This article take the Taiwan stock market index stock as the object of study, applies the non-condition and the condition level end value assignment separately, makes up seizes end the stock return rate to assign the thick tail and the neterogeny variation characteristic, pushes estimates the stock the theory earnest money standard, provides the earnest money standard hypothesis the suggestion. The real diagnosis result discovered that end the stock date return rate the assignment belongs to the Frechet assignment, and has the neterogeny variance characteristic. End the parameter stable examination demonstrated that the futures exchange may to buy up sets up the same earnest money standard with the oversell spot, however the different stock contract's earnest money standard should rest on its risk characteristic to have a difference. The condition extremum distribution point estimated the earnest money standard may at the right moment respond the stock spot immediately risk characteristic, therefore, futures exchange, if can adopt the dynamic guarantee gold policy, then the risk control's achievements will be better. If when schedules the earnest money may relax the anticipated violation probability to 0.01, then the theory earnest money standard may reduce largely, investor's transaction cost may reduce. This time, still might by way of the increase scope limit management stock price risk, however should enhance its earnest money regarding the financial stock and the electronic stock.

並列關鍵字

Investment reward ； Earnest money

國際替代計量

以極值理論剖析台股指數期貨保證金水準估計之研究

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