S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 13:59:36

1. Model Specification

Period:1

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

## OK: residuals appear as normally distributed (p = 0.908).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.820).

## OK: Error variance appears to be homoscedastic (p = 0.625).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(SP500) ~ L(SP500, 1) + L(sc, 1) + L(TCI_R, 1) + m1 + indpro +     x_ff + L(x10_3, 1) + PF + cpium + d(sc) + d(TCI_R) + d(x10_3)
## F = 8.3394, 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
##  indpro 3.61 [  2.76,   4.87]         1.90      0.28     [0.21, 0.36]
## 
## Moderate Correlation
## 
##         Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##     L(sc, 1) 9.84 [  7.23,  13.54]         3.14      0.10     [0.07, 0.14]
##        TCI_R 5.03 [  3.78,   6.85]         2.24      0.20     [0.15, 0.26]
##  L(TCI_R, 1) 5.01 [  3.76,   6.82]         2.24      0.20     [0.15, 0.27]
## 
## High Correlation
## 
##         Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1)  87.83 [ 63.24, 122.14]         9.37      0.01     [0.01, 0.02]
##           sc  14.05 [ 10.25,  19.40]         3.75      0.07     [0.05, 0.10]
##           m1  56.00 [ 40.38,  77.83]         7.48      0.02     [0.01, 0.02]
##         x_ff  26.97 [ 19.53,  37.39]         5.19      0.04     [0.03, 0.05]
##        x10_3  20.81 [ 15.11,  28.81]         4.56      0.05     [0.03, 0.07]
##  L(x10_3, 1)  16.08 [ 11.71,  22.23]         4.01      0.06     [0.04, 0.09]
##           PF 169.49 [121.88, 235.85]        13.02  5.90e-03     [0.00, 0.01]
##        cpium  17.95 [ 13.05,  24.83]         4.24      0.06     [0.04, 0.08]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.67269, p-value = 0.7561

2. Forecasts

## [1] 0.001034885

## [1] 0.0009499888

## [1] 4.823401