S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 14:03:48

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 = 0.513).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.862).

## OK: Error variance appears to be homoscedastic (p = 0.166).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(SP500) ~ L(SP500, 1) + sc + L(TCI_R, 1) + m1 + indpro + x_ff +     x10_3 + PF + cpium + d(TCI_R)
## F = 8.507, 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
##        TCI_R 5.00 [ 3.73,   6.85]         2.24      0.20     [0.15, 0.27]
##  L(TCI_R, 1) 4.87 [ 3.64,   6.67]         2.21      0.21     [0.15, 0.27]
##       indpro 3.30 [ 2.53,   4.47]         1.82      0.30     [0.22, 0.40]
## 
## Moderate Correlation
## 
##   Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##     sc 8.18 [ 6.00,  11.30]         2.86      0.12     [0.09, 0.17]
##  x10_3 6.99 [ 5.16,   9.64]         2.64      0.14     [0.10, 0.19]
## 
## High Correlation
## 
##         Term    VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1)  80.90 [57.89, 113.22]         8.99      0.01     [0.01, 0.02]
##           m1  47.92 [34.36,  67.00]         6.92      0.02     [0.01, 0.03]
##         x_ff  20.80 [15.01,  28.99]         4.56      0.05     [0.03, 0.07]
##           PF 129.61 [92.64, 181.48]        11.38  7.72e-03     [0.01, 0.01]
##        cpium  15.65 [11.33,  21.77]         3.96      0.06     [0.05, 0.09]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.75095, p-value = 0.6256

2. Forecasts

## [1] 0.001152076

## [1] 0.001030096

## [1] 4.778937