GARCH(1,1) Model of the Financial Market with the Minkowski Metric

Abstract

Abstract We solve a stylised fact on a long memory process of the volatility cluster phenomena by using the Minkowski metric for GARCH(1,1) (generalised autoregressive conditional heteroskedasticity) under the assumption that price and time cannot be separated. We provide a Yang-Mills equation in financial market and an anomaly on superspace of time series data as a consequence of the proof from the general relativity theory. We use an original idea in the Minkowski spacetime embedded in Kolmogorov space in time series data with the behaviour of traders. The result of this work is equivalent to the dark volatility or the hidden risk fear field induced by the interaction of the behaviour of the trader in the financial market panic when the market crashes.