S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
21:14:58
1. Model Specification
Date:08/03/2022
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_3.xlsx
## OK: residuals appear as normally distributed (p = 0.104).## OK: Residuals appear to be independent and not autocorrelated (p = 0.698).## OK: Error variance appears to be homoscedastic (p = 0.060).##
## 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 = 7.1386, 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, 10.40] 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) 206.14 [ 158.01, 269.04] 14.36 4.85e-03
## L(SP500, 2) 230.87 [ 176.95, 301.33] 15.19 4.33e-03
## L(SP500, 3) 177.16 [ 135.81, 231.19] 13.31 5.64e-03
## sc 31.41 [ 24.19, 40.88] 5.60 0.03
## L(sc, 1) 36.70 [ 28.24, 47.79] 6.06 0.03
## L(sc, 2) 22.72 [ 17.53, 29.54] 4.77 0.04
## L(sc, 3) 18.81 [ 14.54, 24.43] 4.34 0.05
## L(sc, 4) 12.41 [ 9.64, 16.08] 3.52 0.08
## L(TCI_R, 1) 19.15 [ 14.80, 24.87] 4.38 0.05
## L(TCI_R, 2) 20.22 [ 15.62, 26.27] 4.50 0.05
## m1 221.82 [ 170.01, 289.51] 14.89 4.51e-03
## L(m1, 1) 289.53 [ 221.87, 377.93] 17.02 3.45e-03
## indpro 14.93 [ 11.56, 19.36] 3.86 0.07
## L(indpro, 1) 15.54 [ 12.03, 20.16] 3.94 0.06
## L(indpro, 2) 15.54 [ 12.04, 20.16] 3.94 0.06
## L(indpro, 3) 12.42 [ 9.65, 16.09] 3.52 0.08
## x_ff 68.16 [ 52.33, 88.86] 8.26 0.01
## L(x_ff, 1) 144.49 [ 110.79, 188.53] 12.02 6.92e-03
## L(x_ff, 2) 140.77 [ 107.94, 183.68] 11.86 7.10e-03
## L(x_ff, 3) 71.56 [ 54.94, 93.31] 8.46 0.01
## x10_3 35.62 [ 27.41, 46.38] 5.97 0.03
## L(x10_3, 1) 37.14 [ 28.58, 48.37] 6.09 0.03
## PF 730.30 [ 559.43, 953.46] 27.02 1.37e-03
## L(PF, 1) 1318.60 [1009.97, 1721.62] 36.31 7.58e-04
## L(PF, 2) 1180.33 [ 904.08, 1541.08] 34.36 8.47e-04
## L(PF, 3) 578.93 [ 443.50, 755.80] 24.06 1.73e-03
## cpium 31.51 [ 24.27, 41.02] 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 = 0.32068, p-value = 1
2. Forecasts
## [1] 0.0009671674## [1] 0.001504179Spot Market Close:4155.17
Spot Market Close (ex ante):3798.78
Spot Market Close (spread in %):8.58
Forecast (4 weeks):4166.98
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-0.28