S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 09-08-2024
Time: 10:10:53

1. Model Specification

Date:09/15/2022

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_10.xlsx

## OK: residuals appear as normally distributed (p = 0.121).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.876).

## OK: Error variance appears to be homoscedastic (p = 0.057).

## 
##  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 = 6.1472, 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 [ 2.68,   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,   6.90]         2.25      0.20     [0.14, 0.26]
## 
## High Correlation
## 
##         Term    VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1)  97.43 [69.94, 135.88]         9.87      0.01     [0.01, 0.01]
##           m1  44.38 [31.95,  61.80]         6.66      0.02     [0.02, 0.03]
##         x_ff  15.63 [11.36,  21.66]         3.95      0.06     [0.05, 0.09]
##        x10_3  17.11 [12.42,  23.72]         4.14      0.06     [0.04, 0.08]
##  L(x10_3, 1)  12.66 [ 9.23,  17.52]         3.56      0.08     [0.06, 0.11]
##           PF 135.60 [97.28, 189.17]        11.64  7.37e-03     [0.01, 0.01]
##        cpium  18.36 [13.32,  25.48]         4.29      0.05     [0.04, 0.08]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.66012, p-value = 0.7762

2. Forecasts

## [1] 0.001155047

## [1] 0.001668204

Spot Market Close:3901.35

Spot Market Close (ex ante):4142.8

Spot Market Close (spread in %):-6.19

Forecast (4 weeks):3911.89

Forecast (spread in % | From Spot Market Close to Forcast[4 weeks]):-0.27