Expected Shortfall Modelling 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 5 in Advances in Cross-Section Data Methods in Applied Economic Research, 2020, pp 75-86 from Springer

Abstract: Abstract The purpose of thisLabuschagne, Coenraad C.A. study is to make use of time-varying volatility models to estimate expected shortfall (ES) for the CARBS indices and a globalOberholzer, Niel minimum variance portfolio (GMVP) constructed using the CARBS indices. The GARCH, GJR-GARCH and EGARCH models are considered. Furthermore, six different distributional assumptions are made regarding the error distribution. The evidence suggests that skewness and kurtosis are important factors to consider when modelling financial returns. Furthermore, it is also important to take leverage into account; asymmetric GARCH modelsVenter, Pierre J. produce the most reliable estimate for four out of six of the variables considered in this study. This is consistent with other findings in the literature.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-38253-7_5

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DOI: 10.1007/978-3-030-38253-7_5

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