S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:26:08

1. Model Specification

Period:55

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

## OK: residuals appear as normally distributed (p = 0.082).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.390).

## OK: Error variance appears to be homoscedastic (p = 0.667).

## 
##  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 = 7.8011, 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 3.77 [ 2.73,  5.44]         1.94      0.27     [0.18, 0.37]
## 
## Moderate Correlation
## 
##          Term  VIF     VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 9.73 [ 6.72, 14.31]         3.12      0.10     [0.07, 0.15]
##  L(indpro, 1) 5.18 [ 3.67,  7.54]         2.28      0.19     [0.13, 0.27]
##         x10_3 8.45 [ 5.86, 12.41]         2.91      0.12     [0.08, 0.17]
## 
## High Correlation
## 
##         Term   VIF     VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 40.44 [27.32, 60.12]         6.36      0.02     [0.02, 0.04]
##           sc 13.21 [ 9.06, 19.51]         3.63      0.08     [0.05, 0.11]
##           m1 38.92 [26.29, 57.84]         6.24      0.03     [0.02, 0.04]
##         x_ff 13.34 [ 9.14, 19.70]         3.65      0.07     [0.05, 0.11]
##           PF 65.28 [43.97, 97.15]         8.08      0.02     [0.01, 0.02]
##        cpium 19.32 [13.15, 28.62]         4.40      0.05     [0.03, 0.08]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.49557, p-value = 0.9667

2. Forecasts

## [1] 0.001070169

## [1] 0.001088896

## [1] 2.613508