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

Table 5

The results of the Kupiec test for the PSRM method.

		The number of the failure days	The failure rate	LR statistics
Portfolio A	P * = 5%	59	0.0502	0.0007 (0.9787)
	P * = 2.5%	26	0.0221	0.4194 (0.5173)
	P * = 1%	9	0.0077	0.7119 (0.3988)
Portfolio B	P * = 5%	47	0.0400	2.6477 (0.1037)
	P * = 2.5%	17	0.0145	6.2875 (0.0122)
	P * = 1%	5	0.0043	4.9949 (0.0254)
Portfolio C	P * = 5%	54	0.0459	0.4150 (0.5195)
	P * = 2.5%	26	0.0221	0.4134 (0.5202)
	P * = 1%	7	0.0060	2.2682 (0.1321)
Portfolio D	P * = 5%	64	0.0545	0.4804 (0.4882)
	P * = 2.5%	38	0.0323	2.3807 (0.1228)
	P * = 1%	12	0.0102	0.0053 (0.9418)

Notes: the figures in parenthesis denote the 𝑃 value of the LR statistics.