Marcin Wątorek | Bartosz Stawiarski
pages: 49-58, JEL classification: C22, C53, C61, Key words: asset bubble, crash, Log-Periodic Power Law, Generalized Hurst Exponent, multiractality, forecasting, bursting time estimation, Abstract: We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fitting to empirical financial time series exhibiting evident bubble behavior is presented. Estimating the critical crash-time works satisfactorily well also in the case of GHE, when substantial „decorrelation” prior to the event is visible. An extensive simulation study carried out on empirical data: stock indices and commodities, confirms very good performance of the two approaches.