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2020 | OriginalPaper | Chapter

5. Expected Shortfall Modelling of the CARBS Indices

Authors : Coenraad C. A. Labuschagne, Niel Oberholzer, Pierre J. Venter

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

Publisher: Springer International Publishing

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Abstract

The purpose of this study is to make use of time-varying volatility models to estimate expected shortfall (ES) for the CARBS indices and a global 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 models 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.

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Metadata
Title
Expected Shortfall Modelling of the CARBS Indices
Authors
Coenraad C. A. Labuschagne
Niel Oberholzer
Pierre J. Venter
Copyright Year
2020
Book
Advances in Cross-Section Data Methods in Applied Economic Research

Print ISBN: 978-3-030-38252-0

Electronic ISBN: 978-3-030-38253-7

Copyright Year: 2020

DOI
https://doi.org/10.1007/978-3-030-38253-7_5

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