Risk Estimation on High Frequency Financial Data
Empirical Analysis of the DAX 30| By: | Florian Jacob |
| Publisher: | Springer Nature |
| Print ISBN: | 9783658093884 |
| eText ISBN: | 9783658093891 |
| Edition: | 0 |
| Copyright: | 2015 |
| Format: | Page Fidelity |
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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.