S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 09-08-2024
Time: 01:29:30

1. Model Specification

Date:09/01/2022

Period:4

Specification:SP500=f(SC, TCI_R, m1, indpro, x_ff, x10_3, PF, cpium)

Sources:Bureau/StocksForecast/BacktestSP500/Backtest2/Data/macro_22_09_1.xlsx

## OK: residuals appear as normally distributed (p = 0.119).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.858).

## OK: Error variance appears to be homoscedastic (p = 0.104).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(SP500) ~ L(SP500, 1) + sc + L(TCI_R, 1) + m1 + indpro + x_ff +     L(x10_3, 1) + PF + cpium + d(TCI_R) + d(L(TCI_R, 1)) + d(x10_3)
## F = 6.9719, p-value = 1e-06
## alternative hypothesis: Possible cointegration
## null values:
##    k    T 
##    8 1000

## # Check for Multicollinearity
## 
## Low Correlation
## 
##         Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(TCI_R, 2) 4.98 [ 3.74,   6.79]         2.23      0.20     [0.15, 0.27]
##       indpro 3.57 [ 2.73,   4.83]         1.89      0.28     [0.21, 0.37]
## 
## Moderate Correlation
## 
##         Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##           sc 9.64 [ 7.08,  13.27]         3.10      0.10     [0.08, 0.14]
##        TCI_R 5.07 [ 3.81,   6.91]         2.25      0.20     [0.14, 0.26]
##  L(TCI_R, 1) 9.42 [ 6.92,  12.98]         3.07      0.11     [0.08, 0.14]
## 
## High Correlation
## 
##         Term    VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 106.54 [76.59, 148.36]        10.32  9.39e-03     [0.01, 0.01]
##           m1  45.13 [32.54,  62.75]         6.72      0.02     [0.02, 0.03]
##         x_ff  16.31 [11.86,  22.57]         4.04      0.06     [0.04, 0.08]
##        x10_3  18.55 [13.47,  25.70]         4.31      0.05     [0.04, 0.07]
##  L(x10_3, 1)  13.23 [ 9.66,  18.29]         3.64      0.08     [0.05, 0.10]
##           PF 137.89 [99.08, 192.05]        11.74  7.25e-03     [0.01, 0.01]
##        cpium  19.70 [14.29,  27.30]         4.44      0.05     [0.04, 0.07]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.54528, p-value = 0.9275

2. Forecasts

## [1] 0.001080602

## [1] 0.00144049

Spot Market Close:3966.85

Spot Market Close (ex ante):4155.56

Spot Market Close (spread in %):-4.76

Forecast (4 weeks):4018.35

Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-1.3