S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
21:36:50
1. Model Specification
Date:08/08/2022
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_6.xlsx
## OK: residuals appear as normally distributed (p = 0.088).## OK: Residuals appear to be independent and not autocorrelated (p = 0.682).## OK: Error variance appears to be homoscedastic (p = 0.061).##
## 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 = 7.1838, 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) 9.27 [ 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) 208.39 [ 159.73, 271.97] 14.44 4.80e-03
## L(SP500, 2) 230.94 [ 177.00, 301.42] 15.20 4.33e-03
## L(SP500, 3) 176.98 [ 135.67, 230.96] 13.30 5.65e-03
## sc 31.53 [ 24.28, 41.04] 5.62 0.03
## L(sc, 1) 36.74 [ 28.27, 47.85] 6.06 0.03
## L(sc, 2) 22.68 [ 17.50, 29.49] 4.76 0.04
## L(sc, 3) 18.83 [ 14.56, 24.46] 4.34 0.05
## L(sc, 4) 12.40 [ 9.63, 16.06] 3.52 0.08
## L(TCI_R, 1) 19.14 [ 14.79, 24.86] 4.38 0.05
## L(TCI_R, 2) 20.22 [ 15.62, 26.28] 4.50 0.05
## m1 223.95 [ 171.65, 292.30] 14.97 4.47e-03
## L(m1, 1) 290.64 [ 222.72, 379.37] 17.05 3.44e-03
## indpro 14.92 [ 11.56, 19.36] 3.86 0.07
## L(indpro, 1) 15.54 [ 12.04, 20.16] 3.94 0.06
## L(indpro, 2) 15.54 [ 12.04, 20.16] 3.94 0.06
## L(indpro, 3) 12.41 [ 9.64, 16.08] 3.52 0.08
## x_ff 68.61 [ 52.68, 89.46] 8.28 0.01
## L(x_ff, 1) 145.11 [ 111.26, 189.35] 12.05 6.89e-03
## L(x_ff, 2) 140.79 [ 107.96, 183.71] 11.87 7.10e-03
## L(x_ff, 3) 71.70 [ 55.04, 93.48] 8.47 0.01
## x10_3 35.70 [ 27.47, 46.48] 5.97 0.03
## L(x10_3, 1) 37.12 [ 28.56, 48.34] 6.09 0.03
## PF 730.24 [ 559.38, 953.37] 27.02 1.37e-03
## L(PF, 1) 1318.31 [1009.76, 1721.25] 36.31 7.59e-04
## L(PF, 2) 1180.79 [ 904.44, 1541.69] 34.36 8.47e-04
## L(PF, 3) 578.75 [ 443.37, 755.57] 24.06 1.73e-03
## cpium 31.29 [ 24.10, 40.73] 5.59 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 = 0.32376, p-value = 0.9999
2. Forecasts
## [1] 0.000957959## [1] 0.001476152Spot Market Close:4140.06
Spot Market Close (ex ante):3807.41
Spot Market Close (spread in %):8.03
Forecast (4 weeks):4169.82
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-0.72