scholarly journals Margin Exceedences for European Stock Index Futures Using Extreme Value Theory

2001 ◽  
Author(s):  
John Cotter
Keyword(s):  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures

scholarly journals Extreme value theory in emerging markets

2010 ◽  
Vol 55 (185) ◽  
pp. 63-105 ◽  
Author(s):  
Goran Andjelic ◽  
Ivana Milosev ◽  
Vladimir Djakovic
Keyword(s):  
Emerging Markets ◽  
Extreme Value Theory ◽  
Performance Test ◽  
Value Theory ◽  
Extreme Value ◽  
Stock Index ◽  
Estimation Methods ◽  
Return Distribution ◽  
Mathematical Methods ◽  
Stock Indexes

This paper investigates the performance of extreme value theory (EVT) with the daily stock index returns of four different emerging markets. The research covers the sample representing the Serbian (BELEXline), Croatian (CROBEX), Slovenian (SBI20), and Hungarian (BUX) stock indexes using the data from January 2006 - September 2009. In the paper a performance test was carried out for the success of application of the extreme value theory in estimating and forecasting of the tails of daily return distribution of the analyzed stock indexes. Therefore the main goal is to determine whether EVT adequately estimates and forecasts the tails (2.5% and 5% at the tail) of daily stock index return distribution in the emerging markets of Serbia, Croatia, Slovenia, and Hungary. The applied methodology during the research includes analysis, synthesis and statistical/mathematical methods. Research results according to estimated Generalized Pareto Distribution (GPD) parameters indicate the necessity of applying market risk estimation methods, i.e. extreme value theory (EVT) in the framework of a broader analysis of investment processes in emerging markets.

A stochastic process approach in setting the appropriate margin level for the TAIFEX stock index futures

2006 ◽  
Vol 32 (11) ◽  
pp. 886-902
Author(s):  
Jian‐Hsin Chou ◽  
Hong‐Fwu Yu
Keyword(s):  
Brownian Motion ◽  
Value Theory ◽  
Stock Index ◽  
Stock Index Futures ◽  
Brownian Motion Process ◽  
Content Type ◽  
Index Futures ◽  
Natural Logarithm ◽  
Motion Process ◽  
Set Up

PurposeThe main purpose of this paper is to compute the appropriate margin level for the stock index futures traded on the Taiwan Futures Exchange (TAIFEX) and, then, to examine the appropriateness of the real margin requirement set by the TAIFEX.Design/methodology/approachThis paper develops a new approach assuming the future's prices follow a geometric Brownian motion process. Compared with the extreme value theory that has been intensively used to determine the appropriate futures margin levels, one of the advantages of the present model is no need to specify the frequency at which extremes are taken.FindingsThe evidences indicate that the theoretical margins obtained by the proposed model can provide a more accurate and flexible margin level in accordance with the market volatility.Research limitations/implicationsThe main limitation of this approach is that the natural logarithm of the futures prices is assumed to follow a Brownian motion process. However, such an assumption might not be practical for financial returns.Practical implicationsThe research is helpful for the clearinghouse to set up its margins policy, especially under various conditions of volatility risks.Originality/valueThis paper proposes a theoretical procedure to set an appropriate futures margin for the TAIFEX. This paper also provides a better understanding of Taiwan's futures market that is newly launched and is useful for investors to hedge and speculate.

Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 101-102
Author(s):  
Frank T. Magiera
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures
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