S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:35:33

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 = 0.229).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.290).

## OK: Error variance appears to be homoscedastic (p = 0.736).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(SP500) ~ L(SP500, 1) + sc + L(TCI_R, 1) + m1 + L(indpro, 1) +     x_ff + x10_3 + PF + cpium + d(TCI_R) + d(indpro)
## F = 6.962, p-value = 1e-06
## alternative hypothesis: Possible cointegration
## null values:
##    k    T 
##    8 1000

## # Check for Multicollinearity
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##         TCI_R 5.95 [ 4.24,   8.59]         2.44      0.17     [0.12, 0.24]
##   L(TCI_R, 1) 5.93 [ 4.22,   8.55]         2.44      0.17     [0.12, 0.24]
##        indpro 9.77 [ 6.83,  14.20]         3.13      0.10     [0.07, 0.15]
##  L(indpro, 1) 6.08 [ 4.32,   8.77]         2.47      0.16     [0.11, 0.23]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 43.29 [29.59,  63.56]         6.58      0.02     [0.02, 0.03]
##           sc 13.74 [ 9.52,  20.05]         3.71      0.07     [0.05, 0.10]
##           m1 39.82 [27.24,  58.45]         6.31      0.03     [0.02, 0.04]
##         x_ff 17.79 [12.27,  26.01]         4.22      0.06     [0.04, 0.08]
##        x10_3 11.71 [ 8.14,  17.05]         3.42      0.09     [0.06, 0.12]
##           PF 72.23 [49.24, 106.16]         8.50      0.01     [0.01, 0.02]
##        cpium 15.34 [10.61,  22.39]         3.92      0.07     [0.04, 0.09]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.49417, p-value = 0.9676

2. Forecasts

## [1] 0.001090434

## [1] 0.001049325

## [1] 3.690757