Title :
Forecast Stock Market Returns Based on Risk Anticipation
Author :
Zhao, Yu ; Yang, Miaomiao ; Qi, Chunjie
Author_Institution :
Coll. of Econ. & Manage., Huazhong Agric. Univ., Wuhan, China
Abstract :
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.
Keywords :
forecasting theory; parameter estimation; risk analysis; stock markets; GARCH-M model; forecast precision; risk anticipation; state space theory; stock holder psychological anticipation; stock market returns forecasting; stock market risks; Economic forecasting; Educational institutions; Equations; Fluctuations; Information management; Innovation management; Power generation economics; Predictive models; State-space methods; Stock markets;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering, 2008. ICIII '08. International Conference on
Conference_Location :
Taipei
Print_ISBN :
978-0-7695-3435-0
DOI :
10.1109/ICIII.2008.72
