The ghost is supposed to be the tormented, wandering soul of late King Hamlet; The context is a context of upcoming, impending war. Indeed, late King Hamlet had won several lands when he vanquished the late King of Norway.
The latter’s son, Fotimbras, is determined to avenge his father and to reclaim those lands. Denmark is preparing for war and Horatio believes the ghost is appearing in order to warn Denmark that there is an imminent danger looming in the horizon. Shakespeare is playing here with the audience’s inference: they are led to think that the danger is a foreign, rival country when in fact the actual danger will be revealed to come from within (a classic use of a red herring).