Value-At-Risk Forecasting of the CARBS Indices

Coenraad C. A. Labuschagne (), Niel Oberholzer and Pierre J. Venter ()
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Coenraad C. A. Labuschagne: University of Johannesburg
Niel Oberholzer: University of Johannesburg
Pierre J. Venter: University of Johannesburg

Chapter Chapter 7 in Advances in Panel Data Analysis in Applied Economic Research, 2018, pp 85-94 from Springer

Abstract: Abstract The purpose of this paper is to use calibrated univariate GARCH family models to forecast volatility and value at risk (VaR) of the CARBS indices and a global minimum variance portfolio (GMVP) constructed using the CARBS equity indices. The reliability of the different volatility forecasts is tested using the mean absolute error (MAE) and the mean squared error (MSE). The rolling forecast of VaR is tested using a back-testing procedure. The results indicate that the use of a rolling forecast from a GARCH model when estimating VaR for the CARBS indices and the GMVP is not a reliable method.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-70055-7_7

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DOI: 10.1007/978-3-319-70055-7_7

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