S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
22:32:54
1. Model Specification
Date:08/11/2022
Period:5
Specification:SP500=f(SC, TCI_R, m1, indpro, x_ff, x10_3, PF, cpium)
Sources:Bureau/StocksForecast/BacktestSP500/Backtest2/Data/macro_22_08_9.xlsx
## OK: residuals appear as normally distributed (p = 0.169).## OK: Residuals appear to be independent and not autocorrelated (p = 0.850).## OK: Error variance appears to be homoscedastic (p = 0.262).##
## 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(L(x10_3, 1)) + d(PF) + d(L(PF, 1)) + d(L(PF, 2))
## F = 5.5667, p-value = 0.0003119
## 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 8.08 [ 6.34, 10.38] 2.84 0.12 [0.10, 0.16]
## L(TCI_R, 3) 9.48 [ 7.42, 12.20] 3.08 0.11 [0.08, 0.13]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance
## L(SP500, 1) 207.27 [ 159.52, 269.40] 14.40 4.82e-03
## L(SP500, 2) 236.44 [ 181.95, 307.33] 15.38 4.23e-03
## L(SP500, 3) 182.48 [ 140.46, 237.17] 13.51 5.48e-03
## sc 31.69 [ 24.50, 41.08] 5.63 0.03
## L(sc, 1) 37.12 [ 28.68, 48.14] 6.09 0.03
## L(sc, 2) 23.99 [ 18.58, 31.07] 4.90 0.04
## L(sc, 3) 19.02 [ 14.76, 24.61] 4.36 0.05
## L(sc, 4) 12.46 [ 9.71, 16.07] 3.53 0.08
## L(TCI_R, 1) 19.03 [ 14.77, 24.62] 4.36 0.05
## L(TCI_R, 2) 20.41 [ 15.83, 26.42] 4.52 0.05
## m1 225.21 [ 173.32, 292.73] 15.01 4.44e-03
## L(m1, 1) 293.18 [ 225.58, 381.11] 17.12 3.41e-03
## indpro 15.51 [ 12.06, 20.04] 3.94 0.06
## L(indpro, 1) 15.91 [ 12.37, 20.56] 3.99 0.06
## L(indpro, 2) 15.98 [ 12.42, 20.65] 4.00 0.06
## L(indpro, 3) 12.72 [ 9.91, 16.41] 3.57 0.08
## x_ff 70.21 [ 54.12, 91.17] 8.38 0.01
## L(x_ff, 1) 145.99 [ 112.39, 189.71] 12.08 6.85e-03
## L(x_ff, 2) 159.69 [ 122.93, 207.53] 12.64 6.26e-03
## L(x_ff, 3) 72.04 [ 55.53, 93.56] 8.49 0.01
## x10_3 36.77 [ 28.40, 47.68] 6.06 0.03
## L(x10_3, 1) 46.89 [ 36.19, 60.84] 6.85 0.02
## L(x10_3, 2) 37.27 [ 28.79, 48.34] 6.10 0.03
## PF 730.79 [ 562.11, 950.17] 27.03 1.37e-03
## L(PF, 1) 1339.82 [1030.45, 1742.14] 36.60 7.46e-04
## L(PF, 2) 1220.88 [ 938.99, 1587.48] 34.94 8.19e-04
## L(PF, 3) 586.78 [ 451.37, 762.92] 24.22 1.70e-03
## cpium 31.63 [ 24.46, 41.01] 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, 0.03]
## [0.03, 0.05]
## [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, 0.08]
## [0.05, 0.08]
## [0.05, 0.08]
## [0.06, 0.10]
## [0.01, 0.02]
## [0.01, 0.01]
## [0.00, 0.01]
## [0.01, 0.02]
## [0.02, 0.04]
## [0.02, 0.03]
## [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 = 0.26931, p-value = 1
2. Forecasts
## [1] 0.001033459## [1] 0.001488653Spot Market Close:4207.27
Spot Market Close (ex ante):3868.99
Spot Market Close (spread in %):8.04
Forecast (4 weeks):4235.77
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-0.68