臺股指數期貨保證金估計模型及結構比之究

On the Methodologies of Margin Setting and the Ratios among Initial, Maintenance and Clearing Margins – The Case of TAIFEX Stock Index Futures

如何降低市場違約風險，同時又能兼顧交易人之資金使用效率，一直是期貨市場的重要議題。本文以簡單移動平均模型、指數加權移動平均、一般化自我迴歸條件異質變異數模型以及極值理論模型對臺股期貨做回溯測試，評估四種模型在保證金水準、穿透率、資金效率、保證金調整之優劣，發現簡單移動平均模型為最適模型。另外，本文將現行保證金結構比與國際主要交易所常用指數期貨保證金結構比進行回溯測試，發現在違約風險並未顯著增加的情況下，降低臺股期貨之保證金結構比可增加資金使用效率。

It is always an important issue for futures exchanges to control the risk of overloss while enhancing traders’ capital efficiency. In this research, four types of margin setting methodology are analyzed via backtesting, namely, simple moving average, exponentially weighted moving average, GARCH model and extreme value theory. After comparing the resulting margin levels, the probability of overloss, the efficiency of margin requirement, and the frequency of margin adjustment, we find that simple moving average, though simple as the name suggests, outperform the other more complicated models in most tests. In addition, we also investigate the suitablility of the ratio among clearing margin, maintenance margin and intial margin. The results of backtesting show that reducing the ratio of initial margin to clearing margin will increase the turnover of traders’ fund without significantly increasing the risk of default.