S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 08-08-2024
Time:
23:51:54
1. Model Specification
Date:08/26/2022
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_20.xlsx
## OK: residuals appear as normally distributed (p = 0.246).## OK: Residuals appear to be independent and not autocorrelated (p = 0.834).## OK: Error variance appears to be homoscedastic (p = 0.336).##
## 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 = 5.588, p-value = 0.0002983
## 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 7.94 [ 6.24, 10.20] 2.82 0.13 [0.10, 0.16]
## L(TCI_R, 3) 9.45 [ 7.40, 12.16] 3.07 0.11 [0.08, 0.14]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance
## L(SP500, 1) 234.86 [ 180.74, 305.28] 15.33 4.26e-03
## L(SP500, 2) 234.41 [ 180.39, 304.69] 15.31 4.27e-03
## L(SP500, 3) 182.26 [ 140.29, 236.88] 13.50 5.49e-03
## sc 29.48 [ 22.80, 38.21] 5.43 0.03
## L(sc, 1) 34.55 [ 26.70, 44.80] 5.88 0.03
## L(sc, 2) 24.57 [ 19.02, 31.82] 4.96 0.04
## L(sc, 3) 19.08 [ 14.80, 24.68] 4.37 0.05
## L(sc, 4) 12.18 [ 9.50, 15.71] 3.49 0.08
## L(TCI_R, 1) 19.00 [ 14.74, 24.57] 4.36 0.05
## L(TCI_R, 2) 20.42 [ 15.83, 26.42] 4.52 0.05
## m1 240.18 [ 184.83, 312.19] 15.50 4.16e-03
## L(m1, 1) 319.05 [ 245.48, 414.76] 17.86 3.13e-03
## indpro 15.34 [ 11.93, 19.82] 3.92 0.07
## L(indpro, 1) 15.98 [ 12.42, 20.65] 4.00 0.06
## L(indpro, 2) 15.77 [ 12.25, 20.37] 3.97 0.06
## L(indpro, 3) 12.79 [ 9.97, 16.51] 3.58 0.08
## x_ff 69.06 [ 53.23, 89.67] 8.31 0.01
## L(x_ff, 1) 156.49 [ 120.47, 203.36] 12.51 6.39e-03
## L(x_ff, 2) 160.05 [ 123.21, 208.00] 12.65 6.25e-03
## L(x_ff, 3) 71.35 [ 55.00, 92.65] 8.45 0.01
## x10_3 30.09 [ 23.27, 39.00] 5.49 0.03
## L(x10_3, 1) 41.87 [ 32.33, 54.32] 6.47 0.02
## L(x10_3, 2) 37.08 [ 28.64, 48.09] 6.09 0.03
## PF 761.82 [ 585.97, 990.53] 27.60 1.31e-03
## L(PF, 1) 1323.26 [1017.72, 1720.61] 36.38 7.56e-04
## L(PF, 2) 1226.42 [ 943.25, 1594.69] 35.02 8.15e-04
## L(PF, 3) 587.53 [ 451.95, 763.89] 24.24 1.70e-03
## cpium 31.53 [ 24.38, 40.87] 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, 0.11]
## [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]
## [0.03, 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 = 0.2811, p-value = 1
2. Forecasts
## [1] 0.0009497931## [1] 0.001265465Spot Market Close:4057.66
Spot Market Close (ex ante):4101.79
Spot Market Close (spread in %):-1.09
Forecast (4 weeks):3989.5
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):1.68