S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 08-08-2024
Time: 16:14:30

1. Model Specification

Date:07/06/2022

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 = 0.673).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.160).

## OK: Error variance appears to be homoscedastic (p = 0.151).

## 
##  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 = 16.015, 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 2.31 [  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 [  6.63,  12.48]         3.01      0.11     [0.08, 0.15]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 140.41 [100.55, 196.23]        11.85  7.12e-03     [0.01, 0.01]
##           sc  21.67 [ 15.66,  30.15]         4.65      0.05     [0.03, 0.06]
##     L(sc, 1)  15.35 [ 11.14,  21.30]         3.92      0.07     [0.05, 0.09]
##           m1  85.25 [ 61.11, 119.08]         9.23      0.01     [0.01, 0.02]
##     L(m1, 1)  70.30 [ 50.42,  98.16]         8.38      0.01     [0.01, 0.02]
##       indpro  10.52 [  7.69,  14.55]         3.24      0.10     [0.07, 0.13]
##         x_ff  26.04 [ 18.78,  36.25]         5.10      0.04     [0.03, 0.05]
##        x10_3  25.33 [ 18.28,  35.27]         5.03      0.04     [0.03, 0.05]
##  L(x10_3, 1)  20.53 [ 14.84,  28.56]         4.53      0.05     [0.04, 0.07]
##           PF 187.62 [134.30, 262.26]        13.70  5.33e-03     [0.00, 0.01]
##        cpium  23.05 [ 16.65,  32.08]         4.80      0.04     [0.03, 0.06]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.38556, p-value = 0.9984

2. Forecasts

## [1] 0.0005984719

## [1] 0.0008854883

Spot Market Close:3845.08

Spot Market Close (ex ante):3784.24

Spot Market Close (spread in %):1.58

Forecast (4 weeks):3673.11

Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):4.47