Research Article
A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Futures Markets
Table 7
Effectiveness of different methods of setting futures maintenance margins.
| | Interval | Model | PI | OCI |
| Portfolio A | In-sample | Linear additive model | 1.0000 | 0.1080 | Our new method | 1.0000 | 0.0778 | Out-of-sample | Linear additive model | 0.9997 | 0.0978 | Our new method | 0.9983 | 0.0709 |
| Portfolio B | In-sample | Linear additive model | 1.0000 | 0.1036 | Our new method | 1.0000 | 0.0745 | Out-of-sample | Linear additive model | 0.9986 | 0.0964 | Our new method | 0.9979 | 0.0694 |
| Portfolio C | In-sample | Linear additive model | 0.9997 | 0.1046 | Our new method | 0.9995 | 0.0815 | Out-of-sample | Linear additive model | 0.9963 | 0.0848 | Our new method | 0.9957 | 0.0615 |
| Portfolio D | In-sample | Linear additive model | 1.0000 | 0.1080 | Our new method | 1.0000 | 0.0778 | Out-of-sample | Linear additive model | 0.9983 | 0.0815 | Our new method | 0.9979 | 0.0695 |
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