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Expected Shortfall Modelling of the CARBS Indices

In: Advances in Cross-Section Data Methods in Applied Economic Research

Author

Listed:
  • Coenraad C. A. Labuschagne

    (University of Johannesburg)

  • Niel Oberholzer

    (University of Johannesburg)

  • Pierre J. Venter

    (University of Johannesburg)

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.

Suggested Citation

  • Coenraad C. A. Labuschagne & Niel Oberholzer & Pierre J. Venter, 2020. "Expected Shortfall Modelling of the CARBS Indices," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Cross-Section Data Methods in Applied Economic Research, chapter 0, pages 75-86, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-38253-7_5
    DOI: 10.1007/978-3-030-38253-7_5
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