S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS
Last
updated: 09-08-2024
Time:
01:55:20
1. Model Specification
Date:09/06/2022
Period:3
Specification:SP500=f(SC, TCI_R, m1, indpro, x_ff, x10_3, PF, cpium)
Sources:Bureau/StocksForecast/BacktestSP500/Backtest2/Data/macro_22_09_3.xlsx
## OK: residuals appear as normally distributed (p = 0.132).## OK: Residuals appear to be independent and not autocorrelated (p = 0.820).## OK: Error variance appears to be homoscedastic (p = 0.061).##
## 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(x10_3)
## F = 6.1845, 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, 1) 4.92 [ 3.69, 6.71] 2.22 0.20 [0.15, 0.27]
## indpro 3.52 [ 2.69, 4.75] 1.87 0.28 [0.21, 0.37]
##
## Moderate Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## sc 9.41 [ 6.90, 12.98] 3.07 0.11 [0.08, 0.14]
## TCI_R 5.05 [ 3.79, 6.90] 2.25 0.20 [0.14, 0.26]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## L(SP500, 1) 97.52 [70.01, 136.01] 9.88 0.01 [0.01, 0.01]
## m1 44.93 [32.34, 62.57] 6.70 0.02 [0.02, 0.03]
## x_ff 15.64 [11.36, 21.67] 3.95 0.06 [0.05, 0.09]
## x10_3 17.08 [12.39, 23.68] 4.13 0.06 [0.04, 0.08]
## L(x10_3, 1) 12.64 [ 9.21, 17.48] 3.55 0.08 [0.06, 0.11]
## PF 135.45 [97.17, 188.97] 11.64 7.38e-03 [0.01, 0.01]
## cpium 18.48 [13.40, 25.64] 4.30 0.05 [0.04, 0.07]##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.6641, p-value = 0.7699
2. Forecasts
## [1] 0.001148152## [1] 0.001645995Spot Market Close:3908.19
Spot Market Close (ex ante):4131
Spot Market Close (spread in %):-5.7
Forecast (4 weeks):3987.16
Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-2.02