DocumentCode
2217481
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
Volume
2
fYear
2008
fDate
19-21 Dec. 2008
Firstpage
377
Lastpage
380
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICIII.2008.72
Filename
4737667
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