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Minimum capital requirement calculations for UK futures

Author(s)
Cotter, John 
Uri
http://hdl.handle.net/10197/1158
Date Issued
2004
Date Available
09T14:57:36Z June 2009
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.
Sponsorship
CPA
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-04-08
Copyright (Published Version)
2004, Centre for Financial Markets
Subject – LCSH
Capital--Econometric models
Futures--Econometric models
Analysis of variance
Web versions
http://www.ucd.ie/bankingfinance/docs/wp/COTTER6.PDF
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
https://creativecommons.org/licenses/by-nc-sa/1.0/
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WP-04-08.pdf

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206.11 KB

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Centre for Financial Markets Working Papers
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