Minimum capital requirement calculations for UK futures

John Cotter

Journal of Futures Markets, 2004, vol. 24, issue 2, 193-220

Abstract: Key to the imposition of appropriate minimum capital requirements on a daily basis is accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high‐frequency UK futures realizations 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. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:193–220, 2004

Date: 2004
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Related works:
Working Paper: Minimum Capital Requirement Calculations for UK Futures (2011)
Working Paper: Minimum Capital Requirement Calculations for UK Futures (2011)
Working Paper: Minimum Capital Requirement Calculations for UK Futures (2004)
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