S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:32:46

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 = 0.112).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.302).

## OK: Error variance appears to be homoscedastic (p = 0.706).

## 
##  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 = 7.9345, 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 3.44 [ 2.51,  4.94]         1.86      0.29     [0.20, 0.40]
## 
## Moderate Correlation
## 
##          Term  VIF     VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 9.76 [ 6.76, 14.32]         3.12      0.10     [0.07, 0.15]
##  L(indpro, 1) 5.20 [ 3.69,  7.54]         2.28      0.19     [0.13, 0.27]
## 
## High Correlation
## 
##         Term   VIF     VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 39.72 [26.91, 58.86]         6.30      0.03     [0.02, 0.04]
##           sc 13.67 [ 9.39, 20.14]         3.70      0.07     [0.05, 0.11]
##           m1 39.78 [26.95, 58.95]         6.31      0.03     [0.02, 0.04]
##         x_ff 16.25 [11.13, 23.98]         4.03      0.06     [0.04, 0.09]
##        x10_3 10.58 [ 7.31, 15.54]         3.25      0.09     [0.06, 0.14]
##           PF 64.56 [43.62, 95.80]         8.04      0.02     [0.01, 0.02]
##        cpium 16.08 [11.01, 23.71]         4.01      0.06     [0.04, 0.09]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.52858, p-value = 0.9427

2. Forecasts

## [1] 0.00107319

## [1] 0.001066796

## [1] 2.535598