Dynamic margin is development trend of futures margin internationally. Dynamic margin of return rate series of continuously future contracts of three futures (copper in SHFE，hard wheat in ZCE and soybean in DCE) was studied empirically by EVT-based EGARCH model. The margin from this research was compared with the margins obtained by other methods. The result shows that Prudent dynamic margin could control risk on time efficiently under extreme volatility of futures price.
韩德宗, 王兴锋, 楼迎军. 期货价格极端波动下谨慎动态保证金水平的设定——基于极值理论的实证研究[J]. J4, 2009, 6(1): 62-.
HAN De-Zong, WANG Xin-Feng, LOU Ying-Jun. Setting up of Prudent Dynamic Margin under Extreme Volatility of Futures Price: An Empirical Research Using Extreme Value Theory. J4, 2009, 6(1): 62-.
2009, Vol. 6 
