S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:22:04

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 = 0.054).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.344).

## OK: Error variance appears to be homoscedastic (p = 0.199).

## 
##  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 = 8.6365, 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 3.95 [ 2.86,   5.68]         1.99      0.25     [0.18, 0.35]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(indpro, 1) 5.26 [ 3.74,   7.62]         2.29      0.19     [0.13, 0.27]
##         x10_3 7.78 [ 5.44,  11.35]         2.79      0.13     [0.09, 0.18]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 49.53 [33.61,  73.24]         7.04      0.02     [0.01, 0.03]
##           sc 13.28 [ 9.15,  19.50]         3.64      0.08     [0.05, 0.11]
##           m1 40.52 [27.53,  59.88]         6.37      0.02     [0.02, 0.04]
##       indpro 10.01 [ 6.94,  14.64]         3.16      0.10     [0.07, 0.14]
##         x_ff 11.13 [ 7.70,  16.32]         3.34      0.09     [0.06, 0.13]
##           PF 80.70 [54.63, 119.44]         8.98      0.01     [0.01, 0.02]
##        cpium 19.50 [13.35,  28.72]         4.42      0.05     [0.03, 0.07]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.48089, p-value = 0.9749

2. Forecasts

## [1] 0.0009992096

## [1] 0.0006824645

## [1] 3.433745