S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 08-08-2024
Time: 16:07:23

1. Model Specification

Date:07/05/2022

Period:10

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

Sources:Bureau/StocksForecast/BacktestSP500/Backtest2/Data/macro_22_07_2.xlsx

## OK: residuals appear as normally distributed (p = 0.687).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.156).

## OK: Error variance appears to be homoscedastic (p = 0.153).

## 
##  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 = 16.025, 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 2.32 [  1.83,   3.09]         1.52      0.43     [0.32, 0.55]
## 
## Moderate Correlation
## 
##          Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(indpro, 1) 9.03 [  6.62,  12.47]         3.01      0.11     [0.08, 0.15]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 140.66 [100.73, 196.59]        11.86  7.11e-03     [0.01, 0.01]
##           sc  21.66 [ 15.65,  30.13]         4.65      0.05     [0.03, 0.06]
##     L(sc, 1)  15.32 [ 11.12,  21.27]         3.91      0.07     [0.05, 0.09]
##           m1  85.01 [ 60.94, 118.75]         9.22      0.01     [0.01, 0.02]
##     L(m1, 1)  70.31 [ 50.43,  98.18]         8.39      0.01     [0.01, 0.02]
##       indpro  10.51 [  7.68,  14.54]         3.24      0.10     [0.07, 0.13]
##         x_ff  25.76 [ 18.58,  35.87]         5.08      0.04     [0.03, 0.05]
##        x10_3  25.26 [ 18.23,  35.17]         5.03      0.04     [0.03, 0.05]
##  L(x10_3, 1)  20.45 [ 14.78,  28.44]         4.52      0.05     [0.04, 0.07]
##           PF 186.98 [133.84, 261.37]        13.67  5.35e-03     [0.00, 0.01]
##        cpium  23.07 [ 16.66,  32.10]         4.80      0.04     [0.03, 0.06]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.38648, p-value = 0.9983

2. Forecasts

## [1] 0.0005981958

## [1] 0.0008845119

Spot Market Close:3831.39

Spot Market Close (ex ante):3771.85

Spot Market Close (spread in %):1.55

Forecast (4 weeks):3671.96

Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):4.16