S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 08-08-2024
Time: 17:57:11

1. Model Specification

Date:07/15/2022

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_10.xlsx

## OK: residuals appear as normally distributed (p = 0.618).

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

## OK: Error variance appears to be homoscedastic (p = 0.149).

## 
##  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 = 16.085, 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) 139.99 [100.25, 195.65]        11.83  7.14e-03     [0.01, 0.01]
##           sc  21.03 [ 15.20,  29.25]         4.59      0.05     [0.03, 0.07]
##     L(sc, 1)  14.88 [ 10.80,  20.65]         3.86      0.07     [0.05, 0.09]
##           m1  83.79 [ 60.07, 117.03]         9.15      0.01     [0.01, 0.02]
##     L(m1, 1)  70.26 [ 50.39,  98.11]         8.38      0.01     [0.01, 0.02]
##       indpro  10.52 [  7.68,  14.55]         3.24      0.10     [0.07, 0.13]
##         x_ff  25.13 [ 18.13,  34.98]         5.01      0.04     [0.03, 0.06]
##        x10_3  25.57 [ 18.44,  35.60]         5.06      0.04     [0.03, 0.05]
##  L(x10_3, 1)  20.48 [ 14.80,  28.48]         4.53      0.05     [0.04, 0.07]
##           PF 185.35 [132.67, 259.08]        13.61  5.40e-03     [0.00, 0.01]
##        cpium  22.72 [ 16.41,  31.62]         4.77      0.04     [0.03, 0.06]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.37523, p-value = 0.999

2. Forecasts

## [1] 0.000597169

## [1] 0.0008835583

Spot Market Close:3863.16

Spot Market Close (ex ante):3802.9

Spot Market Close (spread in %):1.56

Forecast (4 weeks):3953.75

Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-2.34