Forecast Stock Market Returns Based on Risk Anticipation

摘要

Adopt state space theory for improving GARCH-M model; take the impacts of structural changes of stock market risks on stock holders’ psychological anticipation while forecasting the stock market returns. Make the comparison of the forecast precision of the improved model with that of the existing one through the observation of Shanghai stock market. It’s proved that the improved model has better explanatory power and fitting precision than common models.