本研究旨在評估臺灣期貨交易所現行使用之保證金計算模型與風險測量，並探討替代方案的可行性。研究透過回溯測試與抗景氣循環測試，比較簡單移動平均法（SMA）與Heston 隨機波動度模型，以及風險值（VaR）與預期損失（ES）兩種風險測量在保證金計算上的適用性。實證結果顯示，Heston 模型在回溯測試中的表現明顯優於SMA模型，能更準確地捕捉市場風險動態。然而，在抗景氣循環能力方面，SMA模型展現出較佳的穩定性，有助於降低市場波動期間的資金需求。風險測量方面，ES在捕捉尾部風險與極端損失上較VaR具有優勢，特別在SMA模型下其效益更為明顯。本研究建議臺灣期交所在模型選擇上可根據其自身考量繼續使用SMA模型，並根據本研究實證結果搭配ES作為保證金風險測量。

This study aims to evaluate the current margin calculation methodologies employed by the Taiwan Futures Exchange (TAIFEX), and explore feasible alternative approaches. By conducting backtesting and anti-procyclicality tests, this research compares the Simple Moving Average (SMA) model with the Heston stochastic volatility model, as well as two risk measures, Value at Risk (VaR) and Expected Shortfall (ES), in terms of their applicability in margin calculation. Empirical results indicate that the Heston model sig nificantly outperforms the SMA model in backtesting, effectively capturing market risk dynamics. However, the SMA model demonstrates superior sta bility in anti-procyclicality tests. Regarding risk measures, ES shows a clear advantage over VaR in capturing tail risk and extreme losses when combined with the SMA model. Based on the empirical findings, this study suggests that TAIFEX could continue to employ the SMA model according to their practical considerations and adopt ES to enhance margin-setting effectiveness.

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