S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
20:56:05
1. Model Specification
Date:08/01/2022
Period:6
Specification:SP500=f(SC, TCI_R, m1, indpro, x_ff, x10_3, PF, cpium)
Sources:Bureau/StocksForecast/BacktestSP500/Backtest2/Data/macro_22_08_1.xlsx
## OK: residuals appear as normally distributed (p = 0.087).## OK: Residuals appear to be independent and not autocorrelated (p = 0.664).## OK: Error variance appears to be homoscedastic (p = 0.063).##
## 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 = 7.18, 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 8.07 [ 6.31, 10.41] 2.84 0.12 [0.10, 0.16]
## L(TCI_R, 3) 9.27 [ 7.24, 11.98] 3.05 0.11 [0.08, 0.14]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance
## L(SP500, 1) 206.40 [ 158.20, 269.37] 14.37 4.84e-03
## L(SP500, 2) 231.35 [ 177.31, 301.95] 15.21 4.32e-03
## L(SP500, 3) 177.02 [ 135.71, 231.02] 13.31 5.65e-03
## sc 31.55 [ 24.30, 41.07] 5.62 0.03
## L(sc, 1) 36.71 [ 28.25, 47.81] 6.06 0.03
## L(sc, 2) 22.67 [ 17.49, 29.46] 4.76 0.04
## L(sc, 3) 18.82 [ 14.54, 24.44] 4.34 0.05
## L(sc, 4) 12.40 [ 9.63, 16.07] 3.52 0.08
## L(TCI_R, 1) 19.19 [ 14.83, 24.92] 4.38 0.05
## L(TCI_R, 2) 20.24 [ 15.63, 26.30] 4.50 0.05
## m1 222.51 [ 170.54, 290.42] 14.92 4.49e-03
## L(m1, 1) 289.57 [ 221.90, 377.98] 17.02 3.45e-03
## indpro 14.92 [ 11.56, 19.35] 3.86 0.07
## L(indpro, 1) 15.53 [ 12.03, 20.15] 3.94 0.06
## L(indpro, 2) 15.53 [ 12.03, 20.15] 3.94 0.06
## L(indpro, 3) 12.40 [ 9.63, 16.07] 3.52 0.08
## x_ff 68.74 [ 52.78, 89.63] 8.29 0.01
## L(x_ff, 1) 145.16 [ 111.30, 189.41] 12.05 6.89e-03
## L(x_ff, 2) 140.77 [ 107.94, 183.68] 11.86 7.10e-03
## L(x_ff, 3) 71.77 [ 55.10, 93.59] 8.47 0.01
## x10_3 35.60 [ 27.40, 46.36] 5.97 0.03
## L(x10_3, 1) 37.23 [ 28.64, 48.48] 6.10 0.03
## PF 727.78 [ 557.50, 950.16] 26.98 1.37e-03
## L(PF, 1) 1317.69 [1009.28, 1720.44] 36.30 7.59e-04
## L(PF, 2) 1179.50 [ 903.44, 1539.99] 34.34 8.48e-04
## L(PF, 3) 578.42 [ 443.11, 755.14] 24.05 1.73e-03
## cpium 31.33 [ 24.13, 40.78] 5.60 0.03
## Tolerance 95% CI
## [0.00, 0.01]
## [0.00, 0.01]
## [0.00, 0.01]
## [0.02, 0.04]
## [0.02, 0.04]
## [0.03, 0.06]
## [0.04, 0.07]
## [0.06, 0.10]
## [0.04, 0.07]
## [0.04, 0.06]
## [0.00, 0.01]
## [0.00, 0.00]
## [0.05, 0.09]
## [0.05, 0.08]
## [0.05, 0.08]
## [0.06, 0.10]
## [0.01, 0.02]
## [0.01, 0.01]
## [0.01, 0.01]
## [0.01, 0.02]
## [0.02, 0.04]
## [0.02, 0.03]
## [0.00, 0.00]
## [0.00, 0.00]
## [0.00, 0.00]
## [0.00, 0.00]
## [0.02, 0.04]##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.32388, p-value = 0.9999
2. Forecasts
## [1] 0.0009602091## [1] 0.001483293Spot Market Close:4118.63
Spot Market Close (ex ante):3783.42
Spot Market Close (spread in %):8.14
Forecast (4 weeks):4166.13
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-1.15