S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
19:11:22
1. Model Specification
Date:07/28/2022
Period:6
Specification:SP500=f(SC, TCI_R, m1, indpro, x_ff, x10_3, PF, cpium)
Sources:Bureau/StocksForecast/BacktestSP500/Backtest2/Data/macro_22_07_19.xlsx
## OK: residuals appear as normally distributed (p = 0.309).## OK: Residuals appear to be independent and not autocorrelated (p = 0.648).## OK: Error variance appears to be homoscedastic (p = 0.079).##
## Bounds F-test (Wald) for no cointegration
##
## data: d(SP500) ~ L(SP500, 1) + L(sc, 1) + L(TCI_R, 1) + L(m1, 1) + L(indpro, 1) + L(x_ff, 1) + L(x10_3, 1) + L(PF, 1) + cpium + d(L(SP500, 1)) + d(L(SP500, 2)) + d(sc) + d(L(sc, 1)) + d(L(sc, 2)) + d(L(sc, 3)) + d(TCI_R) + d(L(TCI_R, 1)) + d(L(TCI_R, 2)) + d(m1) + d(indpro) + d(L(indpro, 1)) + d(L(indpro, 2)) + d(x_ff) + d(L(x_ff, 1)) + d(L(x_ff, 2)) + d(x10_3) + d(PF) + d(L(PF, 1)) + d(L(PF, 2))
## F = 7.2881, p-value = 1e-06
## alternative hypothesis: Possible cointegration
## null values:
## k T
## 8 1000## # Check for Multicollinearity
##
## Moderate Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## TCI_R 8.03 [ 6.29, 10.36] 2.83 0.12 [0.10, 0.16]
## L(TCI_R, 3) 9.26 [ 7.23, 11.97] 3.04 0.11 [0.08, 0.14]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## L(SP500, 1) 237.22 [181.81, 309.62] 15.40 4.22e-03 [0.00, 0.01]
## L(SP500, 2) 231.31 [177.28, 301.90] 15.21 4.32e-03 [0.00, 0.01]
## L(SP500, 3) 175.40 [134.47, 228.90] 13.24 5.70e-03 [0.00, 0.01]
## sc 28.38 [ 21.87, 36.93] 5.33 0.04 [0.03, 0.05]
## L(sc, 1) 31.70 [ 24.41, 41.27] 5.63 0.03 [0.02, 0.04]
## L(sc, 2) 19.97 [ 15.42, 25.94] 4.47 0.05 [0.04, 0.06]
## L(sc, 3) 16.76 [ 12.97, 21.76] 4.09 0.06 [0.05, 0.08]
## L(sc, 4) 11.57 [ 8.99, 14.97] 3.40 0.09 [0.07, 0.11]
## L(TCI_R, 1) 19.82 [ 15.31, 25.75] 4.45 0.05 [0.04, 0.07]
## L(TCI_R, 2) 20.21 [ 15.61, 26.26] 4.50 0.05 [0.04, 0.06]
## m1 231.01 [177.05, 301.51] 15.20 4.33e-03 [0.00, 0.01]
## L(m1, 1) 309.55 [237.20, 404.06] 17.59 3.23e-03 [0.00, 0.00]
## indpro 14.79 [ 11.46, 19.18] 3.85 0.07 [0.05, 0.09]
## L(indpro, 1) 15.46 [ 11.98, 20.06] 3.93 0.06 [0.05, 0.08]
## L(indpro, 2) 15.42 [ 11.95, 20.01] 3.93 0.06 [0.05, 0.08]
## L(indpro, 3) 12.37 [ 9.61, 16.02] 3.52 0.08 [0.06, 0.10]
## x_ff 73.11 [ 56.13, 95.34] 8.55 0.01 [0.01, 0.02]
## L(x_ff, 1) 190.51 [146.03, 248.62] 13.80 5.25e-03 [0.00, 0.01]
## L(x_ff, 2) 139.28 [106.80, 181.73] 11.80 7.18e-03 [0.01, 0.01]
## L(x_ff, 3) 72.80 [ 55.89, 94.93] 8.53 0.01 [0.01, 0.02]
## x10_3 35.84 [ 27.58, 46.67] 5.99 0.03 [0.02, 0.04]
## L(x10_3, 1) 38.36 [ 29.51, 49.95] 6.19 0.03 [0.02, 0.03]
## PF 738.17 [565.46, 963.73] 27.17 1.35e-03 [0.00, 0.00]
## L(PF, 1) 1277.16 [978.25, 1667.50] 35.74 7.83e-04 [0.00, 0.00]
## L(PF, 2) 1128.85 [864.66, 1473.84] 33.60 8.86e-04 [0.00, 0.00]
## L(PF, 3) 549.27 [420.79, 717.07] 23.44 1.82e-03 [0.00, 0.00]
## cpium 30.30 [ 23.33, 39.43] 5.50 0.03 [0.03, 0.04]##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.33322, p-value = 0.9999
2. Forecasts
## [1] 0.0008833399## [1] 0.001294491Spot Market Close:4072.43
Spot Market Close (ex ante):3673.92
Spot Market Close (spread in %):9.79
Forecast (4 weeks):4086.84
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-0.35