  This paper studies a fixed-design residual bootstrap method for the two-step
estimator of Francq and Zako\"ian (2015) associated with the conditional
Expected Shortfall. For a general class of volatility models the bootstrap is
shown to be asymptotically valid under the conditions imposed by Beutner et al.
(2018). A simulation study is conducted revealing that the average coverage
rates are satisfactory for most settings considered. There is no clear evidence
to have a preference for any of the three proposed bootstrap intervals. This
contrasts results in Beutner et al. (2018) for the VaR, for which the
reversed-tails interval has a superior performance.
