Margin Determination of Au(T+D) Contract Based on VaR-GARCH Model

摘要

Recent years have seen a striking increase in investor interest in gold.Many investors are engaging in the transaction of Au(T+D),one of the gold products trading in the Shanghai Gold Exchange.In order to control risk of the market,SGE should set reasonable margin level for Au(T+D) contract,because the transaction of the gold product is based on margin.A VaR-GARCH-GED model is built up to provide SGE a method to determine the reasonable margin level of Au(T+D) contract.