Value-At-Risk Forecasting of the CARBS Indices

  • Coenraad C. A. Labuschagne
  • Niel Oberholzer
  • Pierre J. Venter
Conference paper
Part of the Springer Proceedings in Business and Economics book series (SPBE)


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.


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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  • Coenraad C. A. Labuschagne
    • 1
  • Niel Oberholzer
    • 1
  • Pierre J. Venter
    • 1
  1. 1.Department of Finance and Investment ManagementUniversity of JohannesburgJohannesburgSouth Africa

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