S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 08-08-2024
Time: 16:42:32

1. Model Specification

Date:07/11/2022

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_6.xlsx

## OK: residuals appear as normally distributed (p = 0.666).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.168).

## OK: Error variance appears to be homoscedastic (p = 0.148).

## 
##  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 = 15.977, 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) 9.04 [  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) 140.12 [100.34, 195.83]        11.84  7.14e-03     [0.01, 0.01]
##           sc  21.68 [ 15.67,  30.16]         4.66      0.05     [0.03, 0.06]
##     L(sc, 1)  15.44 [ 11.20,  21.43]         3.93      0.06     [0.05, 0.09]
##           m1  85.90 [ 61.58, 119.99]         9.27      0.01     [0.01, 0.02]
##     L(m1, 1)  70.25 [ 50.39,  98.09]         8.38      0.01     [0.01, 0.02]
##       indpro  10.53 [  7.70,  14.57]         3.25      0.09     [0.07, 0.13]
##         x_ff  26.64 [ 19.21,  37.10]         5.16      0.04     [0.03, 0.05]
##        x10_3  25.46 [ 18.36,  35.44]         5.05      0.04     [0.03, 0.05]
##  L(x10_3, 1)  20.74 [ 14.99,  28.85]         4.55      0.05     [0.03, 0.07]
##           PF 188.39 [134.85, 263.34]        13.73  5.31e-03     [0.00, 0.01]
##        cpium  22.80 [ 16.47,  31.73]         4.77      0.04     [0.03, 0.06]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.38678, p-value = 0.9983

2. Forecasts

## [1] 0.0005990569

## [1] 0.0008868553

Spot Market Close:3854.43

Spot Market Close (ex ante):3796.98

Spot Market Close (spread in %):1.49

Forecast (4 weeks):3656.22

Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):5.14