S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
22:37:08
1. Model Specification
Date:08/12/2022
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_10.xlsx
## OK: residuals appear as normally distributed (p = 0.151).## OK: Residuals appear to be independent and not autocorrelated (p = 0.844).## OK: Error variance appears to be homoscedastic (p = 0.167).##
## 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 = 5.5207, p-value = 0.0003414
## 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 7.88 [ 6.19, 10.12] 2.81 0.13 [0.10, 0.16]
## L(TCI_R, 3) 9.43 [ 7.38, 12.13] 3.07 0.11 [0.08, 0.14]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance
## L(SP500, 1) 230.73 [ 177.56, 299.91] 15.19 4.33e-03
## L(SP500, 2) 235.34 [ 181.11, 305.91] 15.34 4.25e-03
## L(SP500, 3) 182.33 [ 140.34, 236.96] 13.50 5.48e-03
## sc 30.85 [ 23.86, 39.99] 5.55 0.03
## L(sc, 1) 35.41 [ 27.36, 45.91] 5.95 0.03
## L(sc, 2) 24.33 [ 18.84, 31.51] 4.93 0.04
## L(sc, 3) 19.09 [ 14.81, 24.69] 4.37 0.05
## L(sc, 4) 12.26 [ 9.56, 15.82] 3.50 0.08
## L(TCI_R, 1) 18.86 [ 14.63, 24.40] 4.34 0.05
## L(TCI_R, 2) 20.47 [ 15.87, 26.49] 4.52 0.05
## m1 239.52 [ 184.32, 311.34] 15.48 4.18e-03
## L(m1, 1) 316.59 [ 243.59, 411.56] 17.79 3.16e-03
## indpro 15.07 [ 11.72, 19.47] 3.88 0.07
## L(indpro, 1) 15.97 [ 12.41, 20.63] 4.00 0.06
## L(indpro, 2) 15.83 [ 12.30, 20.45] 3.98 0.06
## L(indpro, 3) 12.72 [ 9.91, 16.42] 3.57 0.08
## x_ff 68.82 [ 53.05, 89.36] 8.30 0.01
## L(x_ff, 1) 153.67 [ 118.30, 199.70] 12.40 6.51e-03
## L(x_ff, 2) 160.06 [ 123.22, 208.01] 12.65 6.25e-03
## L(x_ff, 3) 71.57 [ 55.17, 92.94] 8.46 0.01
## x10_3 31.05 [ 24.01, 40.25] 5.57 0.03
## L(x10_3, 1) 41.93 [ 32.38, 54.40] 6.48 0.02
## L(x10_3, 2) 37.06 [ 28.63, 48.07] 6.09 0.03
## PF 763.81 [ 587.51, 993.12] 27.64 1.31e-03
## L(PF, 1) 1326.00 [1019.83, 1724.18] 36.41 7.54e-04
## L(PF, 2) 1227.16 [ 943.82, 1595.64] 35.03 8.15e-04
## L(PF, 3) 587.70 [ 452.07, 764.11] 24.24 1.70e-03
## cpium 31.58 [ 24.42, 40.94] 5.62 0.03
## Tolerance 95% CI
## [0.00, 0.01]
## [0.00, 0.01]
## [0.00, 0.01]
## [0.03, 0.04]
## [0.02, 0.04]
## [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, 0.09]
## [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 = 0.27774, p-value = 1
2. Forecasts
## [1] 0.000973895## [1] 0.001301282Spot Market Close:4280.15
Spot Market Close (ex ante):4122.14
Spot Market Close (spread in %):3.69
Forecast (4 weeks):4247.38
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):0.77