Research on S&P 500 Forecasting During High Volatility Periods

Yitong Mu

doi:10.6981/FEM.202512_6(12).0012

Research on S&P 500 Forecasting During High Volatility Periods

Yitong Mu

Frontiers in Economics and Management, (2025), Vol.6, No.12, pp.139-150

Published: December 15, 2025

DOI: 10.6981/FEM.202512_6(12).0012

PDF: Download Full Text PDF

Abstract

This paper investigates the predictive performance of ARIMA and LSTM models for the S&P 500 index under different market conditions. Using daily data from 1990 to 2024, the study also downloaded VIX and computed ATR as potential volatility indicators; however, the forecasting models were primarily based on closing prices and their log returns. High-volatility days were defined as those with daily returns exceeding 3%. The results show that in the overall sample, LSTM tends to underestimate and smooth the trend, performing similarly to ARIMA; however, during high-volatility periods, ARIMA provides more robust directional forecasts, while LSTM lags behind the real market. The findings suggest that deep learning models are not always superior to classical time-series models, and linear models remain competitive in extreme market conditions.

Keywords: S&P 500; High Volatility; ARIMA; LSTM; Time Series Forecasting.

APA Citation: Yitong Mu (2025). Research on S&P 500 Forecasting During High Volatility Periods. Frontiers in Economics and Management, 6(12), 139-150. https://doi.org/10.6981/FEM.202512_6(12).0012

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