The margin level and the static collecting methods are analyzed, and the GARCH-GPD models based on semi-parametric methods are applied to calculate the margin level.

• 摘要对国内现行保证金水平和静态收取方式进行分析和评价，用基于半参数方法的GARCH-GPD模型计算保证金比例，避免不当假设扰动项分布产生的错误。