S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:29:14

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 = 0.065).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.376).

## OK: Error variance appears to be homoscedastic (p = 0.769).

## 
##  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 = 7.9002, 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 3.75 [ 2.72,  5.40]         1.94      0.27     [0.19, 0.37]
## 
## Moderate Correlation
## 
##          Term  VIF     VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 9.80 [ 6.78, 14.40]         3.13      0.10     [0.07, 0.15]
##  L(indpro, 1) 5.19 [ 3.68,  7.54]         2.28      0.19     [0.13, 0.27]
##         x10_3 9.58 [ 6.63, 14.07]         3.09      0.10     [0.07, 0.15]
## 
## High Correlation
## 
##         Term   VIF     VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 39.15 [26.49, 58.11]         6.26      0.03     [0.02, 0.04]
##           sc 13.50 [ 9.26, 19.91]         3.67      0.07     [0.05, 0.11]
##           m1 39.34 [26.61, 58.38]         6.27      0.03     [0.02, 0.04]
##         x_ff 14.82 [10.15, 21.88]         3.85      0.07     [0.05, 0.10]
##           PF 65.51 [44.19, 97.35]         8.09      0.02     [0.01, 0.02]
##        cpium 19.42 [13.24, 28.72]         4.41      0.05     [0.03, 0.08]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.50915, p-value = 0.9578

2. Forecasts

## [1] 0.001062286

## [1] 0.001086072

## [1] 1.370195