Research on Tail Risk Measurement of Social Security Fund Investment Based on GARCH-POT-VaR Model
Social security fund is an important security fund to solve the aging problem of our country,the invest-ment income fluctuates greatly in the past five years,how to accurately measure the investment risk of social security fund is an important issue to improve the investment security of social security fund.On the basis of considering the vol-atility characteristics of the return series,the GARCH family model is proposed to depict the volatility characteristics of the return series and the POT model to process extreme tail data,and three tail risk measurement models of financial markets are constructed:ARMA-GARCH-POT,ARMA-EGARCH-POT and ARMA-GJRGARCH-POT are applied to the dynamic measurement of VaR.In the construction of extreme POT model,AU2 statistics were used to de-termine the threshold,and W2 and A2 statistics were used to test the goodness of tail fitting,which avoided subjectivity.Finally,VaR is measured and back-tested.The results show that the traditional GARCH-VaR model will underestimate the extreme tail risk,and the GARch-type model combined with POT model has a more accurate measurement effect on dynamic VaR,and each model can more accurately quantify the tail risk of stock market return at the 99.0％ confidence level.
Social Security FundTail Risk MeasurementARMA-GARCH Family ModelExtreme Value TheoryVaR
万方数据
维普
