S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:17:34

1. Model Specification

Period:50

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

## OK: residuals appear as normally distributed (p = 0.071).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.426).

## OK: Error variance appears to be homoscedastic (p = 0.214).

## 
##  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 = 8.7789, 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 4.00 [ 2.89,   5.76]         2.00      0.25     [0.17, 0.35]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 9.96 [ 6.90,  14.59]         3.16      0.10     [0.07, 0.14]
##  L(indpro, 1) 5.23 [ 3.72,   7.58]         2.29      0.19     [0.13, 0.27]
##         x10_3 6.80 [ 4.77,   9.90]         2.61      0.15     [0.10, 0.21]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 49.96 [33.85,  73.98]         7.07      0.02     [0.01, 0.03]
##           sc 13.14 [ 9.05,  19.32]         3.62      0.08     [0.05, 0.11]
##           m1 39.93 [27.09,  59.10]         6.32      0.03     [0.02, 0.04]
##         x_ff 10.08 [ 6.98,  14.77]         3.17      0.10     [0.07, 0.14]
##           PF 78.98 [53.40, 117.07]         8.89      0.01     [0.01, 0.02]
##        cpium 20.61 [14.08,  30.41]         4.54      0.05     [0.03, 0.07]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.46963, p-value = 0.9801

2. Forecasts

## [1] 0.0009704308

## [1] 0.0006669155

## [1] 1.088769