标题： 英国期货的最低资本要求计算 显示英文标题

标题： Minimum Capital Requirement Calculations for UK Futures

摘要： 对每日实施适当的最低资本要求的关键在于准确的波动率估计。 在这里，提出了基于连续时间框架支持下的离散估计方法，用于聚合高频英国期货实际数据。 将平方收益和绝对收益纳入测量过程，以便依赖扩散过程的二次变差，并在存在厚尾的情况下具有稳健性。 实现的波动率估计包含了长期记忆特性。 波动率变量的动力学特征得到了充分捕捉。 所得的重新缩放收益被应用于最低资本要求的计算。 显示英文摘要

摘要： 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.