S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 08-08-2024
Time: 18:21:52

1. Model Specification

Date:07/20/2022

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_13.xlsx

## OK: residuals appear as normally distributed (p = 0.428).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.206).

## OK: Error variance appears to be homoscedastic (p = 0.107).

## 
##  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 = 16.14, 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) 140.02 [100.27, 195.69]        11.83  7.14e-03     [0.01, 0.01]
##           sc  21.02 [ 15.20,  29.24]         4.59      0.05     [0.03, 0.07]
##     L(sc, 1)  14.86 [ 10.79,  20.62]         3.85      0.07     [0.05, 0.09]
##           m1  83.73 [ 60.03, 116.95]         9.15      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,  14.55]         3.24      0.10     [0.07, 0.13]
##         x_ff  25.14 [ 18.14,  35.01]         5.01      0.04     [0.03, 0.06]
##        x10_3  25.61 [ 18.47,  35.65]         5.06      0.04     [0.03, 0.05]
##  L(x10_3, 1)  20.51 [ 14.83,  28.53]         4.53      0.05     [0.04, 0.07]
##           PF 185.29 [132.64, 259.01]        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 = 0.3547, p-value = 0.9996

2. Forecasts

## [1] 0.000605981

## [1] 0.000918061

Spot Market Close:3959.9

Spot Market Close (ex ante):3834.75

Spot Market Close (spread in %):3.16

Forecast (4 weeks):3975.04

Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-0.38