AbstractForecasting returns for the Artificial Intelligence and Robotics Index is of great significance for financial market stability, and the development of the artificial intelligence industry. To provide investors with a more reliable reference in terms of artificial intelligence index investment, this paper selects the NASDAQ CTA Artificial Intelligence and Robotics (AIRO) Index as the research target, and proposes innovative hybrid methods to forecast returns by considering its multiple structural characteristics. Specifically, this paper uses the ensemble empirical mode decomposition (EEMD) method and the modified iterative cumulative sum of squares (ICSS) algorithm to decompose the index returns and identify the structural breakpoints. Furthermore, it combines the least-square support vector machine approach with the particle swarm optimization method (PSO-LSSVM) and the generalized autoregressive conditional heteroskedasticity (GARCH) type models to construct innovative hybrid forecasting methods. On the one hand, the empirical results indicate that the AIRO index returns have complex structural characteristics, and present time-varying and nonlinear characteristics with high complexity and mutability; on the other hand, the newly proposed hybrid forecasting method (i.e., the EEMD-PSO-LSSVM-ICSS-GARCH models) which considers these complex structural characteristics, can yield the optimal forecasting performance for the AIRO index returns.