基于MRS-GARCH的社保基金投资风险测度研究  

Market Risk Measurement of Social Security Fund Investment Based on MRS-GARCH

作　　者：江红莉[1] 姚洪兴[1] 

机构地区：[1]江苏大学财经学院,江苏镇江212013

出　　处：《西安电子科技大学学报（社会科学版）》2013年第2期84-90,共7页Journal of Xidian University：Social Science Edition

基　　金：国家自然科学基金资助项目(70871056和71271103);江苏省"六大人才高峰"项目

摘　　要：考虑到我国金融市场受宏观政策等影响较大,社保基金的波动可能存在结构变化特征,以"社保重仓"代表社保基金的投资组合,基于马尔科夫状态转移GARCH(MRS-GARCH)模型研究社保基金波动的变结构特征,测度其市场风险VaR和ES。研究发现:MRS-GARCH模型能够解决GARCH模型的伪强持续性,提高预测精度;误差服从GED分布的MRS-GARCH建模效果最好,其参数估计值表明"社保重仓"收益率波动存在不对称的状态转移特征;与"上证指数"、"深成指数"、"基金重仓"等相比,"社保重仓"虽然承担的风险较高,但其经风险调整的平均收益率也是最高的,遵循了"安全性"和"收益性"的委托投资原则。由此,建议"十二五"期间,应对社保基金投资实行分类管理,逐步做实个人账户基金,并允许其以委托投资的管理模式在资本市场上投资,以实现其保值增值。Considering the Chinese financial market heavily influenced by the macroeconomic policy, we attempt to analyze the structure characteristic of social security fund＇s volatility and measure the market risk VaR and Es by using the Markov Switching GARCH Model（MRS-GARCH） and the data of ＂social security blue chips＂. The empirical results show that the MRS-GARCH model can resolve the pseudo strong volatility persistence, improving forecasting precision. The MRS-GARCH-GED model is the best for modeling the volatility of social security fund. The estimated value of parameters implicates that the volatility structure is asymmetric. Compared with Shangzheng index, Shencheng index and ＂fund blue chips＂, the risk and the risk -adjusted revenue of ＂social security blue chips＂ is higher. The investment of social security fixnd is abiding by the principal of safety and profitability. Lastly, we propose some policy for the maintain and appreciation of social security fund in future according the empirical results during the ＂twelfth five years＂, such as carrying out category management, enriching the individual account fund, and carrying out entrusted investment mode.

关 键 词：社保基金 市场风险 马尔科夫状态转移 GARCH模型 VAR ES 

分 类 号：F830.9[经济管理—金融学]