The purpose of this research is modeling and predicting the return of Tehran Stock Exchange Market using by MA and MAX models.
At first, we review the return concept and different types of it; then we recognize the parameters which affect the return derive from theoretical basis of finance and related researches. After that, prediction and common methods of predicting as well as different kinds of predicting the return of capital market models will be reviewed. In the next section, research method and data analyzing are reviewed. Next, we use the OLS model to predict the return of Tehran Stock Exchange Market. Then, when the results of diagnostic tests imply on the effectiveness of dependent variables from moving average variables of one to ten of itself, we use MA and MAX models to predict the return of Tehran Stock Exchange Market.
After estimation of mentioned models and confirmation of their power specification by applying diagnostic tests, the return of Tehran Stock Exchange Market will be predicted for the four coming periods.
These predictions by applying estimation models are compared with real data and the optimistic model by using Akaike information criterion (AIC), Schwarz- Bayesian information criterion, Hannan-Quinn and also MSE, MAE, MAPE criteria has been chosen. The final result shows the preference of MAX model to MA model.