S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:07:16

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 = 0.098).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.568).

## OK: Error variance appears to be homoscedastic (p = 0.073).

## 
##  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 = 8.0122, 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) 4.96 [ 3.55,   7.15]         2.23      0.20     [0.14, 0.28]
## 
## Moderate Correlation
## 
##   Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  TCI_R 6.38 [ 4.51,   9.24]         2.53      0.16     [0.11, 0.22]
##   x_ff 9.47 [ 6.60,  13.81]         3.08      0.11     [0.07, 0.15]
##  x10_3 5.57 [ 3.96,   8.05]         2.36      0.18     [0.12, 0.25]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 53.65 [36.49,  79.10]         7.32      0.02     [0.01, 0.03]
##           sc 12.39 [ 8.58,  18.13]         3.52      0.08     [0.06, 0.12]
##           m1 39.18 [26.70,  57.72]         6.26      0.03     [0.02, 0.04]
##       indpro 10.24 [ 7.12,  14.95]         3.20      0.10     [0.07, 0.14]
##           PF 81.28 [55.18, 119.93]         9.02      0.01     [0.01, 0.02]
##        cpium 20.22 [13.87,  29.70]         4.50      0.05     [0.03, 0.07]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.39884, p-value = 0.9973

2. Forecasts

## [1] 0.0008890282

## [1] 0.0006010149

## [1] 1.744834