S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:13:15

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 = 0.063).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.346).

## OK: Error variance appears to be homoscedastic (p = 0.066).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(SP500) ~ L(SP500, 1) + sc + TCI_R + m1 + L(indpro, 1) + x_ff +     x10_3 + PF + cpium + d(indpro)
## F = 9.5443, 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 3.33 [ 2.45,   4.74]         1.82      0.30     [0.21, 0.41]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(indpro, 1) 5.54 [ 3.95,   7.99]         2.35      0.18     [0.13, 0.25]
##         x10_3 6.47 [ 4.57,   9.36]         2.54      0.15     [0.11, 0.22]
## 
## High Correlation
## 
##         Term    VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1)  62.11 [42.28,  91.46]         7.88      0.02     [0.01, 0.02]
##           sc  12.63 [ 8.75,  18.45]         3.55      0.08     [0.05, 0.11]
##           m1  39.44 [26.91,  58.01]         6.28      0.03     [0.02, 0.04]
##       indpro  10.46 [ 7.28,  15.25]         3.23      0.10     [0.07, 0.14]
##         x_ff  10.32 [ 7.19,  15.04]         3.21      0.10     [0.07, 0.14]
##           PF 102.77 [69.83, 151.47]        10.14  9.73e-03     [0.01, 0.01]
##        cpium  20.46 [14.06,  30.01]         4.52      0.05     [0.03, 0.07]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.46071, p-value = 0.9837

2. Forecasts

## [1] 0.0009110032

## [1] 0.0005841528

## [1] 2.115535