S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
21:24:51
1. Model Specification
Date:08/05/2022
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_5.xlsx
## OK: residuals appear as normally distributed (p = 0.094).## OK: Residuals appear to be independent and not autocorrelated (p = 0.704).## OK: Error variance appears to be homoscedastic (p = 0.065).##
## 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 = 7.2062, 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 8.05 [ 6.30, 10.38] 2.84 0.12 [0.10, 0.16]
## L(TCI_R, 3) 9.28 [ 7.24, 11.99] 3.05 0.11 [0.08, 0.14]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance
## L(SP500, 1) 208.06 [ 159.47, 271.54] 14.42 4.81e-03
## L(SP500, 2) 230.09 [ 176.34, 300.30] 15.17 4.35e-03
## L(SP500, 3) 177.26 [ 135.88, 231.32] 13.31 5.64e-03
## sc 31.30 [ 24.11, 40.74] 5.60 0.03
## L(sc, 1) 36.72 [ 28.26, 47.82] 6.06 0.03
## L(sc, 2) 22.79 [ 17.58, 29.62] 4.77 0.04
## L(sc, 3) 18.82 [ 14.55, 24.45] 4.34 0.05
## L(sc, 4) 12.42 [ 9.64, 16.08] 3.52 0.08
## L(TCI_R, 1) 19.10 [ 14.76, 24.80] 4.37 0.05
## L(TCI_R, 2) 20.18 [ 15.59, 26.22] 4.49 0.05
## m1 222.58 [ 170.59, 290.50] 14.92 4.49e-03
## L(m1, 1) 290.50 [ 222.61, 379.18] 17.04 3.44e-03
## indpro 14.93 [ 11.57, 19.36] 3.86 0.07
## L(indpro, 1) 15.55 [ 12.04, 20.17] 3.94 0.06
## L(indpro, 2) 15.56 [ 12.05, 20.18] 3.94 0.06
## L(indpro, 3) 12.45 [ 9.66, 16.12] 3.53 0.08
## x_ff 67.60 [ 51.90, 88.14] 8.22 0.01
## L(x_ff, 1) 143.92 [ 110.35, 187.79] 12.00 6.95e-03
## L(x_ff, 2) 140.81 [ 107.97, 183.73] 11.87 7.10e-03
## L(x_ff, 3) 71.34 [ 54.77, 93.02] 8.45 0.01
## x10_3 35.69 [ 27.47, 46.48] 5.97 0.03
## L(x10_3, 1) 37.03 [ 28.49, 48.22] 6.08 0.03
## PF 735.88 [ 563.70, 960.74] 27.13 1.36e-03
## L(PF, 1) 1318.53 [1009.92, 1721.54] 36.31 7.58e-04
## L(PF, 2) 1181.71 [ 905.14, 1542.88] 34.38 8.46e-04
## L(PF, 3) 579.47 [ 443.91, 756.50] 24.07 1.73e-03
## cpium 31.53 [ 24.28, 41.04] 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 = 0.32237, p-value = 0.9999
2. Forecasts
## [1] 0.0009561766## [1] 0.001476619Spot Market Close:4145.19
Spot Market Close (ex ante):3812.52
Spot Market Close (spread in %):8.03
Forecast (4 weeks):4156.56
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-0.27