Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: The log-periodic-AR(1)-GARCH(1,1) model for financial crashes   This paper intends to meet recent claims for the attainment of more rigorous
statistical methodology within the econophysics literature. To this end, we
consider an econometric approach to investigate the outcomes of the
log-periodic model of price movements, which has been largely used to forecast
financial crashes. In order to accomplish reliable statistical inference for
unknown parameters, we incorporate an autoregressive dynamic and a conditional
heteroskedasticity structure in the error term of the original model, yielding
the log-periodic-AR(1)-GARCH(1,1) model. Both the original and the extended
models are fitted to financial indices of U. S. market, namely S&P500 and
NASDAQ. Our analysis reveal two main points: (i) the
log-periodic-AR(1)-GARCH(1,1) model has residuals with better statistical
properties and (ii) the estimation of the parameter concerning the time of the
financial crash has been improved.

20
The categories of this paper are: acc-phys
28
The categories of this paper are: alg-geom
13
The categories of this paper are: quant-ph
12
The categories of this paper are: nucl-th
26
The categories of this paper are: bayes-an
33
The categories of this paper are: plasm-ph
25
The categories of this paper are: patt-sol
1
The categories of this paper are: cs
37
The categories of this paper are: supr-con
23
The categories of this paper are: solv-int
18
The categories of this paper are: econ
10
The categories of this paper are: q-bio
34
The categories of this paper are: chem-ph
11
The categories of this paper are: hep-lat
31
The categories of this paper are: ao-sci
7
The categories of this paper are: hep-th