Hardouvelis, Gikas A; Kim, Dongcheol - C.E.P.R. Discussion Papers - 1995
volatility, and they raise margins in contracts that have recently shown the largest volatility increase. Volatility then tends … to fall. This reduction is smaller - especially the troublesome jump component of volatility that is derived from a … raise margins when they perceive the earlier volatility increase to be more permanent. Conversely, exchanges reduce margins …