The S&P Composite data set is collected by Yale Department of Economics. This data set consists of monthly stock price, dividends, and earnings data and the consumer price index (to allow conversion to real values), etc, all starting January 1871. In this case, I used the GARCH-M model including ARMA, GARCH model and linear regression with several extraneous predictors as following, which can be used to forecast the S&P Composite Stock Index Returns in the following years.