Analysis of Margin Models for the Korean Futures Market

Kim, Hak-kyum; Park, Jin-woo; Ahn, Hee-joon

doi:2017.46.1.97

Korean J Financ Stud > Volume 46(1); 2017 > Article

Korean Journal of Financial Studies 2017;46(1):97-132.
DOI: https://doi.org/10.26845/KJFS.2017.02.46.1.97 Published online February 28, 2017.

Analysis of Margin Models for the Korean Futures Market

Hak-kyum Kim, Jin-woo Park, Hee-joon Ahn

국내 선물시장에서의 증거금률 산정모형에 관한 연구

김학겸, 박진우, 안희준

Abstract

This study examines four margin models in order to identify which one offers the most effective margin estimates for the futures contract traded on the Korea Exchange (KRX). The models considered in the study include the KRX model which is currently adopted by the exchange, the historical simulation (HS) model, the exponentially weighted moving average (EWMA) model, and the generally autoregressive conditional heteroscadasticity (GARCH) model. We backtest the four models in order to examine the accuracy and efficiency of their estimates. We find that the required margins estimated by the KRX and HS models are larger than those estimated by the EWMA and GARCH models, and that among the four models the KRX model produces the lowest violation and failure rates, indicating that the current margin requirements set by the KRX are excessively conservative. Our analysis further indicates that the EWMA and GARCH models are superior to the others in terms of the accuracy and efficiency with the EWMA model having a edge over the GARCH model. Overall, these results suggest that the KRX may consider changing its margin model to either the EWMA or GARCH model.

Key Words: 사후검증,산정모형,선물시장,증거금,한국거래소,Back Test,Futures Market,Korea Exchange,Margin Calculation Model,Margin Requirement