Estimating Volatility of German Dax From Econometric and Econophysics Perspectives

Abstract

Investors recently are really concerned about the risk aspects associated with the investment in securities. Volatility calculation, therefore, has become an important aspect in the financial markets. For these reasons time series models are greatly used to forecast volatility. One such model is the different variants of the Econometric model. Along with it the use of Econophysics methods is also helpful for the same. Understanding a better model of the forecast is what investors are looking forward to as it helps reduce the risk associated with investing. So a comparison of the models will be of important which will give us an insight on the same. For this purpose, the German DAX is considered.