A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Futures Markets

Table 3

Estimation of parameters of marginal distribution models.

Parameters	Number 1 soybeans	Copper cathode	Cotton	Crude soybean oil
𝑢	−0.0003* (−1.7553)	0.0006* (1.7566)	−0.0001 (−0.7287)	0.0004 (−0.9183)
𝑐	1.3556𝑒−5^∗∗∗ (2.9357)	5.6875𝑒−6^∗∗∗ (2.4469)	2.9713𝑒−6^∗∗∗ (3.4973)	3.5372𝑒−6^∗∗∗ (3.5842)
𝛼	0.2714*** (3.2369)	0.1146*** (5.0954)	0.1698*** (4.7560)	0.1064*** (4.8432)
𝛾	0.7286*** (16.5762)	0.8775*** (42.5026)	0.8302*** (37.4746)	0.8637*** (26.8547)
𝑚	2.7196*** (10.1095)	4.9958*** (6.8156)	3.0547*** (10.6815)	5.0262*** (8.8953)

Notes: the figures in parenthesis denote the value of 𝑡 statistics. The asterisks ***, **, and * represent the significance level at the 1%, 5%, and 10%, respectively.