How are margin/haircut for shares calculated? Is it linked to category(A,B,T,Z etc) of shares?

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The applicable VaR (Value at Risk) is calculated for each security based on the J.R. Varma Committee guidelines. (The formula suggested by J. R. Varma for computation of VaR for margin calculation is statistically known as ‘Exponentially weighted moving average (EWMA)’ method. In comparison to the traditional method, EWMA has the advantage of giving more weight to the recent price movements and less weight to the historical price movements.)

Fortunately for us NSE provides VaR rates which you can download from here: http://www.nseindia.com/archives/archives.htm#top

Source: http://www.nseindia.com/content/fo/fo_selection.htm

http://www.iimahd.ernet.in/~jrvarma/reports/ndx-fut/varmarep.pdf

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