S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 09-08-2024
Time: 02:52:00

1. Model Specification

Date:09/14/2022

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_9.xlsx

## OK: residuals appear as normally distributed (p = 0.165).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.816).

## OK: Error variance appears to be homoscedastic (p = 0.074).

## 
##  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 = 6.3084, 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,   6.72]         2.22      0.20     [0.15, 0.27]
##       indpro 3.51 [ 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 9.33 [ 6.85,  12.86]         3.05      0.11     [0.08, 0.15]
##  TCI_R 5.06 [ 3.79,   6.91]         2.25      0.20     [0.14, 0.26]
## 
## High Correlation
## 
##         Term    VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1)  97.45 [69.96, 135.90]         9.87      0.01     [0.01, 0.01]
##           m1  44.43 [31.98,  61.87]         6.67      0.02     [0.02, 0.03]
##         x_ff  15.61 [11.34,  21.63]         3.95      0.06     [0.05, 0.09]
##        x10_3  17.10 [12.41,  23.72]         4.14      0.06     [0.04, 0.08]
##  L(x10_3, 1)  12.66 [ 9.23,  17.51]         3.56      0.08     [0.06, 0.11]
##           PF 135.54 [97.24, 189.09]        11.64  7.38e-03     [0.01, 0.01]
##        cpium  18.35 [13.31,  25.46]         4.28      0.05     [0.04, 0.08]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.66976, p-value = 0.7608

2. Forecasts

## [1] 0.001151902

## [1] 0.001643164

Spot Market Close:3946.01

Spot Market Close (ex ante):4159.51

Spot Market Close (spread in %):-5.41

Forecast (4 weeks):3930.5

Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):0.39