Minimum capital requirement calculations for UK futures

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Title: Minimum capital requirement calculations for UK futures
Authors: Cotter, John
Permanent link: http://hdl.handle.net/10197/1158
Date: 2004
Abstract: Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures realisations underpinned by a continuous time framework. Squared and absolute returns are incorporated into the measurement process so as to rely on the quadratic variation of a diffusion process and be robust in the presence of fat tails. The realized volatility estimates incorporate the long memory property. The dynamics of the volatility variable are adequately captured. Resulting rescaled returns are applied to minimum capital requirement calculations.
Funding Details: CPA
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Copyright (published version): 2004, Centre for Financial Markets
Subject LCSH: Capital--Econometric models
Futures--Econometric models
Analysis of variance
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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