GARCH(1,1) model of the financial market with the Minkowski metric. (arXiv:1808.04231v1 [q-fin.ST])

We solved a stylized fact on a long memory process of volatility cluster phenomena by using Minkowski metric for GARCH(1,1) under assumption that price and time can not be separated. We provide a Yang-Mills equation in financial market and anomaly on superspace of time series data as a consequence of the proof from the general relativity theory. We used an original idea in Minkowski spacetime embedded in Kolmogorov space in time series data with behavior 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 behavior of the trader in the financial market panic when the market crashed.