A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Futures Markets

Table 7

Effectiveness of different methods of setting futures maintenance margins.

	Interval	Model	PI	OCI
Portfolio A	In-sample	Linear additive model	1.0000	0.1080
		Our new method	1.0000	0.0778
	Out-of-sample	Linear additive model	0.9997	0.0978
		Our new method	0.9983	0.0709
Portfolio B	In-sample	Linear additive model	1.0000	0.1036
		Our new method	1.0000	0.0745
	Out-of-sample	Linear additive model	0.9986	0.0964
		Our new method	0.9979	0.0694
Portfolio C	In-sample	Linear additive model	0.9997	0.1046
		Our new method	0.9995	0.0815
	Out-of-sample	Linear additive model	0.9963	0.0848
		Our new method	0.9957	0.0615
Portfolio D	In-sample	Linear additive model	1.0000	0.1080
		Our new method	1.0000	0.0778
	Out-of-sample	Linear additive model	0.9983	0.0815
		Our new method	0.9979	0.0695