Intel graphics do support DirectX. What version depends on your Intel Graphics/Processor.
If you do not have the necessary version - 1) if a desktop, get an add-in graphics card or 2) if a laptop, unless you have switchable graphics, there is nothing you can do.
I have the same issue - can't start the game with my i3-6100 CPU - no discrete GPU. I start the application from Steam.
Title: Error creating DX11 graphics
Your graphics card does not support DirectX 11 features.
I know that Intel(R) HD Graphics 530 is below the recommended specification, but on the other hand I can play any game with it.
Plus, it has full DX11 / DX12 capability.