S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 09-08-2024
Time:
00:11:15
1. Model Specification
Date:08/29/2022
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_21.xlsx
## OK: residuals appear as normally distributed (p = 0.128).## OK: Residuals appear to be independent and not autocorrelated (p = 0.684).## OK: Error variance appears to be homoscedastic (p = 0.064).##
## 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 = 7.4113, 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 7.91 [ 6.19, 10.20] 2.81 0.13 [0.10, 0.16]
## L(TCI_R, 3) 9.24 [ 7.21, 11.93] 3.04 0.11 [0.08, 0.14]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## L(SP500, 1) 239.00 [183.17, 311.95] 15.46 4.18e-03 [0.00, 0.01]
## L(SP500, 2) 228.64 [175.23, 298.41] 15.12 4.37e-03 [0.00, 0.01]
## L(SP500, 3) 177.28 [135.90, 231.35] 13.31 5.64e-03 [0.00, 0.01]
## sc 28.86 [ 22.23, 37.55] 5.37 0.03 [0.03, 0.04]
## L(sc, 1) 34.08 [ 26.23, 44.37] 5.84 0.03 [0.02, 0.04]
## L(sc, 2) 23.41 [ 18.06, 30.43] 4.84 0.04 [0.03, 0.06]
## L(sc, 3) 18.87 [ 14.58, 24.51] 4.34 0.05 [0.04, 0.07]
## L(sc, 4) 12.14 [ 9.43, 15.72] 3.48 0.08 [0.06, 0.11]
## L(TCI_R, 1) 19.14 [ 14.79, 24.86] 4.37 0.05 [0.04, 0.07]
## L(TCI_R, 2) 20.21 [ 15.61, 26.26] 4.50 0.05 [0.04, 0.06]
## m1 239.39 [183.47, 312.45] 15.47 4.18e-03 [0.00, 0.01]
## L(m1, 1) 316.36 [242.42, 412.96] 17.79 3.16e-03 [0.00, 0.00]
## indpro 14.79 [ 11.46, 19.18] 3.85 0.07 [0.05, 0.09]
## L(indpro, 1) 15.64 [ 12.11, 20.29] 3.96 0.06 [0.05, 0.08]
## L(indpro, 2) 15.33 [ 11.87, 19.88] 3.91 0.07 [0.05, 0.08]
## L(indpro, 3) 12.48 [ 9.69, 16.17] 3.53 0.08 [0.06, 0.10]
## x_ff 67.77 [ 52.03, 88.36] 8.23 0.01 [0.01, 0.02]
## L(x_ff, 1) 155.70 [119.38, 203.18] 12.48 6.42e-03 [0.00, 0.01]
## L(x_ff, 2) 140.59 [107.80, 183.44] 11.86 7.11e-03 [0.01, 0.01]
## L(x_ff, 3) 71.08 [ 54.56, 92.67] 8.43 0.01 [0.01, 0.02]
## x10_3 29.21 [ 22.50, 38.01] 5.40 0.03 [0.03, 0.04]
## L(x10_3, 1) 31.22 [ 24.04, 40.63] 5.59 0.03 [0.02, 0.04]
## PF 765.33 [586.25, 999.19] 27.66 1.31e-03 [0.00, 0.00]
## L(PF, 1) 1301.03 [996.52, 1698.69] 36.07 7.69e-04 [0.00, 0.00]
## L(PF, 2) 1188.08 [910.02, 1551.20] 34.47 8.42e-04 [0.00, 0.00]
## L(PF, 3) 579.47 [443.92, 756.51] 24.07 1.73e-03 [0.00, 0.00]
## cpium 31.07 [ 23.93, 40.44] 5.57 0.03 [0.02, 0.04]##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.33741, p-value = 0.9999
2. Forecasts
## [1] 0.0008935569## [1] 0.001291177Spot Market Close:4030.61
Spot Market Close (ex ante):4091.58
Spot Market Close (spread in %):-1.51
Forecast (4 weeks):3956.11
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):1.85