S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 08-08-2024
Time: 16:21:41

1. Model Specification

Date:07/07/2022

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_4.xlsx

## OK: residuals appear as normally distributed (p = 0.534).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.166).

## OK: Error variance appears to be homoscedastic (p = 0.141).

## 
##  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 = 16.113, 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 [  1.82,   3.08]         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) 140.32 [100.48, 196.10]        11.85  7.13e-03     [0.01, 0.01]
##           sc  21.70 [ 15.68,  30.19]         4.66      0.05     [0.03, 0.06]
##     L(sc, 1)  15.39 [ 11.17,  21.36]         3.92      0.06     [0.05, 0.09]
##           m1  85.49 [ 61.29, 119.42]         9.25      0.01     [0.01, 0.02]
##     L(m1, 1)  70.29 [ 50.42,  98.15]         8.38      0.01     [0.01, 0.02]
##       indpro  10.52 [  7.69,  14.56]         3.24      0.10     [0.07, 0.13]
##         x_ff  26.26 [ 18.94,  36.56]         5.12      0.04     [0.03, 0.05]
##        x10_3  25.37 [ 18.30,  35.32]         5.04      0.04     [0.03, 0.05]
##  L(x10_3, 1)  20.61 [ 14.90,  28.66]         4.54      0.05     [0.03, 0.07]
##           PF 187.99 [134.56, 262.78]        13.71  5.32e-03     [0.00, 0.01]
##        cpium  23.00 [ 16.61,  32.01]         4.80      0.04     [0.03, 0.06]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.36812, p-value = 0.9992

2. Forecasts

## [1] 0.0006010804

## [1] 0.0008976136

Spot Market Close:3902.62

Spot Market Close (ex ante):3806.96

Spot Market Close (spread in %):2.45

Forecast (4 weeks):3693.69

Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):5.35