Minimum Capital Requirement Calculations for UK Futures

John Cotter

No 200418, Working Papers from Geary Institute, University College Dublin

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.

Pages: 44 pages
Date: 2011
New Economics Papers: this item is included in nep-mst and nep-rmg
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http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200418.pdf First version, 2004 (application/pdf)

Related works:
Working Paper: Minimum Capital Requirement Calculations for UK Futures (2011)
Journal Article: Minimum capital requirement calculations for UK futures (2004)
Working Paper: Minimum Capital Requirement Calculations for UK Futures (2004)
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