S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
20:27:37
1. Model Specification
Date:07/29/2022
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_20.xlsx
## OK: residuals appear as normally distributed (p = 0.377).## OK: Residuals appear to be independent and not autocorrelated (p = 0.570).## 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 = 7.3051, 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 [ 6.28, 10.35] 2.83 0.12 [0.10, 0.16]
## L(TCI_R, 3) 9.26 [ 7.23, 11.96] 3.04 0.11 [0.08, 0.14]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## L(SP500, 1) 237.15 [181.76, 309.53] 15.40 4.22e-03 [0.00, 0.01]
## L(SP500, 2) 231.33 [177.29, 301.92] 15.21 4.32e-03 [0.00, 0.01]
## L(SP500, 3) 175.44 [134.50, 228.95] 13.25 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) 31.71 [ 24.41, 41.27] 5.63 0.03 [0.02, 0.04]
## L(sc, 2) 19.96 [ 15.42, 25.94] 4.47 0.05 [0.04, 0.06]
## L(sc, 3) 16.75 [ 12.96, 21.74] 4.09 0.06 [0.05, 0.08]
## L(sc, 4) 11.57 [ 8.99, 14.98] 3.40 0.09 [0.07, 0.11]
## L(TCI_R, 1) 19.81 [ 15.31, 25.74] 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 231.10 [177.12, 301.63] 15.20 4.33e-03 [0.00, 0.01]
## L(m1, 1) 309.43 [237.11, 403.90] 17.59 3.23e-03 [0.00, 0.00]
## indpro 14.78 [ 11.46, 19.17] 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 [ 11.94, 20.00] 3.93 0.06 [0.05, 0.08]
## L(indpro, 3) 12.36 [ 9.60, 16.01] 3.52 0.08 [0.06, 0.10]
## x_ff 73.10 [ 56.12, 95.32] 8.55 0.01 [0.01, 0.02]
## L(x_ff, 1) 190.52 [146.04, 248.63] 13.80 5.25e-03 [0.00, 0.01]
## L(x_ff, 2) 139.13 [106.69, 181.54] 11.80 7.19e-03 [0.01, 0.01]
## L(x_ff, 3) 72.74 [ 55.84, 94.85] 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, 49.96] 6.19 0.03 [0.02, 0.03]
## PF 735.29 [563.25, 959.96] 27.12 1.36e-03 [0.00, 0.00]
## L(PF, 1) 1274.82 [976.45, 1664.44] 35.70 7.84e-04 [0.00, 0.00]
## L(PF, 2) 1128.68 [864.53, 1473.62] 33.60 8.86e-04 [0.00, 0.00]
## L(PF, 3) 549.39 [420.89, 717.23] 23.44 1.82e-03 [0.00, 0.00]
## cpium 30.29 [ 23.33, 39.41] 5.50 0.03 [0.03, 0.04]##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.3341, p-value = 0.9999
2. Forecasts
## [1] 0.0009096535## [1] 0.00137672Spot Market Close:4130.29
Spot Market Close (ex ante):3689.32
Spot Market Close (spread in %):10.68
Forecast (4 weeks):4102.42
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):0.67