Forecasting price of financial market crash via a new nonlinear potential GARCH model

DOI10.1016/J.PHYSA.2020.125649OpenAlexW3110665809MaRDI QIDQ2068471FDOQ2068471

Authors Dun-Zhong Xing, Jiang-Cheng Li, Chao Long, Haifeng Li

Publication date 19 January 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2020.125649

zbMATH Keywords

econophysicsfinancial market crashnew nonlinear potential GARCH modelnonlinear potential functionout of sample forecastingSPA test

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cited in

(2)

• Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
• Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations

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