Margin is a basic guarantee for the performance of the parties to the transaction on the futures market. To set more reasonable margin levels in the range of risk control, we combine GARCH, TGARCH, EGARCH model in VaR approach, together with impact factors and estimating model parameters based on MCMC quantile regression method, evaluate the quantile Φ－1q by using Cornish Fisher expansion,and use daily data of Hujiao index, strive to develop a more rational approach through comparison and verification.
