S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
23:18:20
1. Model Specification
Date:08/19/2022
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_15.xlsx
## OK: residuals appear as normally distributed (p = 0.143).## OK: Residuals appear to be independent and not autocorrelated (p = 0.850).## OK: Error variance appears to be homoscedastic (p = 0.204).##
## 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 = 5.5155, p-value = 0.0003447
## 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 7.87 [ 6.18, 10.11] 2.81 0.13 [0.10, 0.16]
## L(TCI_R, 3) 9.44 [ 7.39, 12.14] 3.07 0.11 [0.08, 0.14]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance
## L(SP500, 1) 231.22 [ 177.94, 300.55] 15.21 4.32e-03
## L(SP500, 2) 235.70 [ 181.38, 306.37] 15.35 4.24e-03
## L(SP500, 3) 182.20 [ 140.24, 236.80] 13.50 5.49e-03
## sc 30.85 [ 23.86, 39.99] 5.55 0.03
## L(sc, 1) 35.25 [ 27.24, 45.71] 5.94 0.03
## L(sc, 2) 24.45 [ 18.94, 31.67] 4.95 0.04
## L(sc, 3) 19.09 [ 14.81, 24.69] 4.37 0.05
## L(sc, 4) 12.24 [ 9.54, 15.78] 3.50 0.08
## L(TCI_R, 1) 18.83 [ 14.61, 24.36] 4.34 0.05
## L(TCI_R, 2) 20.47 [ 15.87, 26.49] 4.52 0.05
## m1 240.03 [ 184.71, 312.00] 15.49 4.17e-03
## L(m1, 1) 318.35 [ 244.94, 413.84] 17.84 3.14e-03
## indpro 15.35 [ 11.93, 19.83] 3.92 0.07
## L(indpro, 1) 15.98 [ 12.42, 20.65] 4.00 0.06
## L(indpro, 2) 15.84 [ 12.31, 20.46] 3.98 0.06
## L(indpro, 3) 12.74 [ 9.93, 16.44] 3.57 0.08
## x_ff 69.09 [ 53.26, 89.72] 8.31 0.01
## L(x_ff, 1) 154.55 [ 118.98, 200.84] 12.43 6.47e-03
## L(x_ff, 2) 160.05 [ 123.21, 208.00] 12.65 6.25e-03
## L(x_ff, 3) 71.38 [ 55.02, 92.70] 8.45 0.01
## x10_3 30.90 [ 23.89, 40.05] 5.56 0.03
## L(x10_3, 1) 41.72 [ 32.21, 54.12] 6.46 0.02
## L(x10_3, 2) 37.12 [ 28.67, 48.14] 6.09 0.03
## PF 763.86 [ 587.54, 993.18] 27.64 1.31e-03
## L(PF, 1) 1324.93 [1019.00, 1722.79] 36.40 7.55e-04
## L(PF, 2) 1226.67 [ 943.44, 1595.01] 35.02 8.15e-04
## L(PF, 3) 587.78 [ 452.14, 764.22] 24.24 1.70e-03
## cpium 31.62 [ 24.44, 40.99] 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, 0.08]
## [0.05, 0.08]
## [0.05, 0.08]
## [0.06, 0.10]
## [0.01, 0.02]
## [0.00, 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 = 0.27876, p-value = 1
2. Forecasts
## [1] 0.0009627138## [1] 0.001277647Spot Market Close:4228.48
Spot Market Close (ex ante):4108.23
Spot Market Close (spread in %):2.84
Forecast (4 weeks):4240.02
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-0.27