Modelling the Price bubble warning system and financial crisis in the stock market

The purpose of this study is to design a warning system for price bubble and financial crisis in the Iranian stock market. In this study, the statistical information of the seasonal data of the period 1990-2019 and the MGARHC have been used to extract and identify the variable of financial crisis and price bubble in the capital market. The results of this study showed that variables such as production, inflation rate, exchange rate, total stock market index, etc. have a significant impact on the occurrence of financial crisis and the possibility of price bubbles in financial markets. Based on the estimation, it can be stated that the effect of the shocks of the research variables on the occurrence of the price bubble in the stock market leads to an increase in the instability of the variables. This can be due to the dependence of the economic structure on its markets, and this can have heavy consequences due to a shock on the country's structure.