Value-at-risk forecasting of the CARBS Indices

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 are 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

The State of South African Cities a Decade after Democracy

a vision of an inclusive non-racial city in which democracy is stable and development flourishes. But the 2004 report is different from preceding urban policy statements in a number of critical respects, not least that it is not a formal statement of government. In part, the relative autonomy of the Report’s sponsor, the South African Cities Network (a quango of state and non-state affiliates), explains its divergent analytical point of departure in the assessment of the state of the cities 10 years after democracy. The 2004 report is premised on the notion that changing the racial pattern of inequality hinges on systematic responses to the material forces, demographic, economic, environmental and institutional, that shaped the inherited apartheid city form. The 2004 report is also different from earlier government policy positions in that it argues that urban development is not just a site of national reconstruction and development, but that the urban question lies at the heart of achieving the national vision of a productive, democratic and non-racial society based on a vision of sustainable human settlements

The State of South African Cities a Decade after Democracy

a vision of an inclusive non-racial city in which democracy is stable and development flourishes. But the 2004 report is different from preceding urban policy statements in a number of critical respects, not least that it is not a formal statement of government. In part, the relative autonomy of the Report’s sponsor, the South African Cities Network (a quango of state and non-state affiliates), explains its divergent analytical point of departure in the assessment of the state of the cities 10 years after democracy. The 2004 report is premised on the notion that changing the racial pattern of inequality hinges on systematic responses to the material forces, demographic, economic, environmental and institutional, that shaped the inherited apartheid city form. The 2004 report is also different from earlier government policy positions in that it argues that urban development is not just a site of national reconstruction and development, but that the urban question lies at the heart of achieving the national vision of a productive, democratic and non-racial society based on a vision of sustainable human settlements