S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 14:05:10

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 = 0.556).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.742).

## OK: Error variance appears to be homoscedastic (p = 0.154).

## 
##  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 = 8.4958, 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) 4.90 [ 3.67,   6.70]         2.21      0.20     [0.15, 0.27]
##       indpro 3.26 [ 2.50,   4.41]         1.81      0.31     [0.23, 0.40]
## 
## Moderate Correlation
## 
##   Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##     sc 8.77 [ 6.43,  12.11]         2.96      0.11     [0.08, 0.16]
##  TCI_R 5.03 [ 3.76,   6.88]         2.24      0.20     [0.15, 0.27]
##  x10_3 7.17 [ 5.29,   9.88]         2.68      0.14     [0.10, 0.19]
## 
## High Correlation
## 
##         Term    VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1)  81.44 [58.34, 113.84]         9.02      0.01     [0.01, 0.02]
##           m1  46.04 [33.05,  64.28]         6.79      0.02     [0.02, 0.03]
##         x_ff  18.62 [13.47,  25.91]         4.32      0.05     [0.04, 0.07]
##           PF 119.63 [85.62, 167.30]        10.94  8.36e-03     [0.01, 0.01]
##        cpium  15.62 [11.33,  21.71]         3.95      0.06     [0.05, 0.09]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.75105, p-value = 0.6254

2. Forecasts

## [1] 0.001110875

## [1] 0.0009981384

## [1] -2.450618