BestMasters: Empirical Analysis of the DAX 30

Jacob, Florian

By studying the ability of the Normal Tempered Stable (NTS) model to fit the statistical features of intraday data at a 5 min sampling frequency, Florian Jacobs extends the research on high frequency data as well as the appliance of tempered stable models. He examines the DAX30 returns using ARMA-GARCH NTS, ARMA-GARCH MNTS (Multivariate Normal Tempered Stable) and ARMA-FIGARCH (Fractionally Integrated GARCH) NTS. The models will be benchmarked through their goodness of fit and their VaR and AVaR, as well as in an historical Backtesting.

Details

Published by: Springer Spektrum

Publication Date: 2015-04-07

Format: Paperback

ISBN-13: 9783658093884

DOI: 10.1007/978-3-658-09389-1

Dimensions: 210cm x148cm

Pages: 70