S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 08-08-2024
Time: 15:24:06

1. Model Specification

Date:06/30/2022

Period:10

Specification:SP500=f(SC, TCI_R, m1, indpro, x_ff, x10_3, PF, cpium)

Sources:Bureau/StocksForecast/BacktestSP500/Backtest2/Data/macro_22_06_1.xlsx

## OK: residuals appear as normally distributed (p = 0.503).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.182).

## OK: Error variance appears to be homoscedastic (p = 0.110).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(SP500) ~ L(SP500, 1) + L(sc, 1) + TCI_R + L(m1, 1) + L(indpro,     1) + x_ff + L(x10_3, 1) + PF + cpium + d(sc) + d(m1) + d(indpro) +     d(x10_3)
## F = 15.917, p-value = 1e-06
## alternative hypothesis: Possible cointegration
## null values:
##    k    T 
##    8 1000

## # Check for Multicollinearity
## 
## Low Correlation
## 
##   Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  TCI_R 2.30 [  1.82,   3.07]         1.52      0.43     [0.33, 0.55]
## 
## Moderate Correlation
## 
##          Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(indpro, 1) 8.95 [  6.56,  12.37]         2.99      0.11     [0.08, 0.15]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 139.94 [100.10, 195.78]        11.83  7.15e-03     [0.01, 0.01]
##           sc  18.38 [ 13.29,  25.57]         4.29      0.05     [0.04, 0.08]
##     L(sc, 1)  12.96 [  9.42,  17.98]         3.60      0.08     [0.06, 0.11]
##           m1  83.44 [ 59.76, 116.67]         9.13      0.01     [0.01, 0.02]
##     L(m1, 1)  68.28 [ 48.93,  95.45]         8.26      0.01     [0.01, 0.02]
##       indpro  10.41 [  7.60,  14.42]         3.23      0.10     [0.07, 0.13]
##         x_ff  27.29 [ 19.65,  38.04]         5.22      0.04     [0.03, 0.05]
##        x10_3  26.16 [ 18.85,  36.47]         5.11      0.04     [0.03, 0.05]
##  L(x10_3, 1)  21.27 [ 15.36,  29.62]         4.61      0.05     [0.03, 0.07]
##           PF 179.50 [128.36, 251.17]        13.40  5.57e-03     [0.00, 0.01]
##        cpium  21.83 [ 15.76,  30.40]         4.67      0.05     [0.03, 0.06]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.36388, p-value = 0.9994

2. Forecasts

## [1] 0.0006006178

## [1] 0.0008930428

Spot Market Close:3785.38

Spot Market Close (ex ante):3869.58

Spot Market Close (spread in %):-2.22

Forecast (4 weeks):3641.31

Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):3.81