S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:37:43

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 = 0.105).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.300).

## OK: Error variance appears to be homoscedastic (p = 0.915).

## 
##  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 = 8.4344, 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 3.27 [ 2.41,   4.67]         1.81      0.31     [0.21, 0.42]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 9.92 [ 6.89,  14.49]         3.15      0.10     [0.07, 0.15]
##  L(indpro, 1) 5.22 [ 3.72,   7.55]         2.29      0.19     [0.13, 0.27]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 40.99 [27.89,  60.49]         6.40      0.02     [0.02, 0.04]
##           sc 13.72 [ 9.46,  20.11]         3.70      0.07     [0.05, 0.11]
##           m1 40.39 [27.48,  59.60]         6.36      0.02     [0.02, 0.04]
##         x_ff 19.69 [13.50,  28.96]         4.44      0.05     [0.03, 0.07]
##        x10_3 11.66 [ 8.07,  17.08]         3.42      0.09     [0.06, 0.12]
##           PF 69.17 [46.92, 102.19]         8.32      0.01     [0.01, 0.02]
##        cpium 13.03 [ 9.00,  19.10]         3.61      0.08     [0.05, 0.11]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.5336, p-value = 0.9383

2. Forecasts

## [1] 0.001055976

## [1] 0.001027238

## [1] -1.21114