Abstract
The purpose of this paper is to estimate the calibrated parameters of different
univariate and multivariate GARCH family models. It is unrealistic to assume
that volatility of financial returns is constant. In the empirical analysis, the symmetric
GARCH, and asymmetric GJR-GARCH and EGARCH models were estimated
for the CARBS indices and a global minimum variance portfolio (GMVP), the best
fitting model was determined using the AIC and BIC. The asymmetric terms of the
GJR-GARCH and EGARCH models indicate signs of the leverage effect. The information
criterion suggest that the EGARCH model is the best fitting model for the
CARBS indices and the GMVP.