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| Chin Wen Cheong, Min Lim and Wong Voon Hee |
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| ''Time-varying tail risk in BRIC stock markets under global shocks: An ADCC-based approach'' |
| ( 2026, Vol. 0 No.0 ) |
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| This study develops a robust market risk framework for BRIC portfolios navigating heightened global uncertainty. By applying the Bai-Perron test, multiple breakpoints emerged within the volatility series, particularly during the COVID-19 pandemic. The inclusion of breakpoint dummy variables into a rolling-window GARCH model was found to be statistically insignificant, impling that rolling estimation sufficiently captures regime shifts autonomously. Using a standard ADCC-GARCH estimation, the results show that BRIC markets exhibit strong volatility persistence, heavy tails, and stable long-run correlations. The portfolio optimization for the subsequent period after 2022 reveals China and India as dominant time-varying allocation drivers during the Russia-Ukraine conflict. Finally, dynamic VaR and ES forecasts, validated by conservative yet statistically reliable backtest results, indicate that the proposed ADCC-GARCH framework accurately quantifies severe tail risk in shock-prone emerging markets. |
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| Keywords: ADCC GARCH, Value-at-Risk, Expected Shortfall. |
JEL: C1 - Econometric and Statistical Methods: General
G1 - General Financial Markets |
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| Manuscript Received : May 30 2026 | | Manuscript Accepted : Oct 12 2026 |
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