S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
21:05:06
1. Model Specification
Date:08/02/2022
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_2.xlsx
## OK: residuals appear as normally distributed (p = 0.088).## OK: Residuals appear to be independent and not autocorrelated (p = 0.706).## OK: Error variance appears to be homoscedastic (p = 0.069).##
## 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 = 7.2293, 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) 9.28 [ 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) 206.22 [ 158.06, 269.14] 14.36 4.85e-03
## L(SP500, 2) 231.11 [ 177.13, 301.64] 15.20 4.33e-03
## L(SP500, 3) 177.09 [ 135.76, 231.10] 13.31 5.65e-03
## sc 31.48 [ 24.24, 40.98] 5.61 0.03
## L(sc, 1) 36.71 [ 28.24, 47.80] 6.06 0.03
## L(sc, 2) 22.69 [ 17.51, 29.50] 4.76 0.04
## L(sc, 3) 18.81 [ 14.54, 24.43] 4.34 0.05
## L(sc, 4) 12.41 [ 9.64, 16.07] 3.52 0.08
## L(TCI_R, 1) 19.17 [ 14.81, 24.90] 4.38 0.05
## L(TCI_R, 2) 20.23 [ 15.63, 26.28] 4.50 0.05
## m1 222.14 [ 170.25, 289.92] 14.90 4.50e-03
## L(m1, 1) 289.49 [ 221.84, 377.87] 17.01 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) 15.54 [ 12.03, 20.16] 3.94 0.06
## L(indpro, 3) 12.41 [ 9.64, 16.08] 3.52 0.08
## x_ff 68.45 [ 52.56, 89.25] 8.27 0.01
## L(x_ff, 1) 144.82 [ 111.04, 188.97] 12.03 6.91e-03
## L(x_ff, 2) 140.77 [ 107.94, 183.67] 11.86 7.10e-03
## L(x_ff, 3) 71.67 [ 55.02, 93.45] 8.47 0.01
## x10_3 35.61 [ 27.40, 46.37] 5.97 0.03
## L(x10_3, 1) 37.19 [ 28.61, 48.42] 6.10 0.03
## PF 728.79 [ 558.28, 951.49] 27.00 1.37e-03
## L(PF, 1) 1318.29 [1009.74, 1721.22] 36.31 7.59e-04
## L(PF, 2) 1179.92 [ 903.77, 1540.54] 34.35 8.48e-04
## L(PF, 3) 578.68 [ 443.31, 755.48] 24.06 1.73e-03
## cpium 31.44 [ 24.21, 40.92] 5.61 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 = 0.32544, p-value = 0.9999
2. Forecasts
## [1] 0.0009529599## [1] 0.001466107Spot Market Close:4091.19
Spot Market Close (ex ante):3775.02
Spot Market Close (spread in %):7.73
Forecast (4 weeks):4155.87
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-1.58