ENGLISH

Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30

By Florian Jacob (auth.)

Book information

Publisher
Springer Spektrum
Year
2015
ISBN
978-3-658-09388-4, 978-3-658-09389-1
DOI
10.1007/978-3-658-09389-1
Language
english
Format
PDF
Filesize
1 MB (1445742 bytes)
Series
BestMasters
Edition
1
Pages
70\78
Time added
2015-04-23 16:00:00
Probability Theory and Stochastic Processes; Compu

Description

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.

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