The Effect of Initial Margin on Long-run and Short-run Volatilities in Japan
This paper examines the effect of initial margin requirements on long-run and short-run volatilities in the Japanese stock market using the Component GARCH model. Our empirical results show that when we do not divide the margin requirement into positive and negative changes, increasing margin requir...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Korea Institute for International Economic Policy
2013-09-01
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| Series: | East Asian Economic Review |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.11644/KIEP.JEAI.2013.17.3.268 |