小弟在国外求学，最近老师发下一个project题目是Can
technical
factors help to predict the German Stock Price Index DAX。一时不知从何开始，希望能人给予提点。
具体内容如下：

Data

Collect daily
time series from January 1992 to the end of 2009 from EcoWin needed to
calculate the following measures:
·
Return (daily, annual)
·
Closing price in deviation from

250 day average
price
·
Closing price in deviation from 30 day average
price
·
Day close versus
low price.
·
Day close versus
high price.
·
Day close v versus opening price.
Consider log prices and log returns whenever possible.
You will also need the volatility index VDAX.
Method
Construct and analyse a congruent time series model for predicting the log price return of the DAX and its volatility.
Compare your model based volatity measures to the VDAX.
Note that the conditioning variables should enter the model lagged.

应该会用到GARCH MODEL，这里也发一个模型的介绍，台湾版的，供大家参考！

GARCH中文介紹.pdf
大小:(3.2 MB)

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