S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 14:55:32

1. Model Specification

Period:45

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

## OK: residuals appear as normally distributed (p = 0.059).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.374).

## OK: Error variance appears to be homoscedastic (p = 0.069).

## 
##  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 = 7.4689, 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) 4.88 [ 3.49,   7.04]         2.21      0.21     [0.14, 0.29]
## 
## Moderate Correlation
## 
##   Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  TCI_R 6.28 [ 4.43,   9.11]         2.51      0.16     [0.11, 0.23]
##  x10_3 5.75 [ 4.08,   8.33]         2.40      0.17     [0.12, 0.24]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 61.10 [41.47,  90.24]         7.82      0.02     [0.01, 0.02]
##           sc 12.05 [ 8.34,  17.65]         3.47      0.08     [0.06, 0.12]
##           m1 39.54 [26.91,  58.34]         6.29      0.03     [0.02, 0.04]
##       indpro 11.17 [ 7.74,  16.35]         3.34      0.09     [0.06, 0.13]
##         x_ff 13.07 [ 9.03,  19.16]         3.62      0.08     [0.05, 0.11]
##           PF 81.74 [55.42, 120.80]         9.04      0.01     [0.01, 0.02]
##        cpium 19.98 [13.69,  29.39]         4.47      0.05     [0.03, 0.07]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.39646, p-value = 0.9975

2. Forecasts

## [1] 0.0008952964

## [1] 0.0006190011

## [1] 7.027705