S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
21:19:32
1. Model Specification
Date:08/04/2022
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_4.xlsx
## OK: residuals appear as normally distributed (p = 0.102).## OK: Residuals appear to be independent and not autocorrelated (p = 0.654).## 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 = 7.1612, 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 8.06 [ 6.30, 10.39] 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) 206.42 [ 158.22, 269.40] 14.37 4.84e-03
## L(SP500, 2) 230.62 [ 176.75, 300.99] 15.19 4.34e-03
## L(SP500, 3) 177.25 [ 135.87, 231.31] 13.31 5.64e-03
## sc 31.34 [ 24.14, 40.79] 5.60 0.03
## L(sc, 1) 36.70 [ 28.24, 47.79] 6.06 0.03
## L(sc, 2) 22.76 [ 17.57, 29.59] 4.77 0.04
## L(sc, 3) 18.81 [ 14.54, 24.43] 4.34 0.05
## L(sc, 4) 12.42 [ 9.64, 16.09] 3.52 0.08
## L(TCI_R, 1) 19.11 [ 14.77, 24.82] 4.37 0.05
## L(TCI_R, 2) 20.20 [ 15.61, 26.25] 4.49 0.05
## m1 221.91 [ 170.08, 289.63] 14.90 4.51e-03
## L(m1, 1) 290.21 [ 222.39, 378.81] 17.04 3.45e-03
## indpro 14.93 [ 11.56, 19.36] 3.86 0.07
## L(indpro, 1) 15.54 [ 12.04, 20.17] 3.94 0.06
## L(indpro, 2) 15.55 [ 12.04, 20.17] 3.94 0.06
## L(indpro, 3) 12.43 [ 9.66, 16.11] 3.53 0.08
## x_ff 67.78 [ 52.04, 88.37] 8.23 0.01
## L(x_ff, 1) 143.98 [ 110.39, 187.86] 12.00 6.95e-03
## L(x_ff, 2) 140.78 [ 107.95, 183.69] 11.87 7.10e-03
## L(x_ff, 3) 71.43 [ 54.84, 93.14] 8.45 0.01
## x10_3 35.65 [ 27.43, 46.42] 5.97 0.03
## L(x10_3, 1) 37.07 [ 28.52, 48.27] 6.09 0.03
## PF 734.19 [ 562.41, 958.53] 27.10 1.36e-03
## L(PF, 1) 1317.91 [1009.45, 1720.72] 36.30 7.59e-04
## L(PF, 2) 1181.06 [ 904.64, 1542.03] 34.37 8.47e-04
## L(PF, 3) 579.22 [ 443.72, 756.18] 24.07 1.73e-03
## cpium 31.57 [ 24.31, 41.09] 5.62 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, 0.04]
## [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 = 0.32102, p-value = 1
2. Forecasts
## [1] 0.0009634233## [1] 0.001496006Spot Market Close:4151.94
Spot Market Close (ex ante):3802.69
Spot Market Close (spread in %):8.41
Forecast (4 weeks):4162.22
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-0.25