S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:42:02

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 = 0.096).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.328).

## OK: Error variance appears to be homoscedastic (p = 0.942).

## 
##  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 = 8.6273, 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 3.28 [ 2.42,   4.68]         1.81      0.30     [0.21, 0.41]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 9.09 [ 6.34,  13.24]         3.01      0.11     [0.08, 0.16]
##  L(indpro, 1) 5.27 [ 3.76,   7.61]         2.30      0.19     [0.13, 0.27]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 41.65 [28.37,  61.36]         6.45      0.02     [0.02, 0.04]
##           sc 13.93 [ 9.62,  20.40]         3.73      0.07     [0.05, 0.10]
##           m1 39.99 [27.25,  58.92]         6.32      0.03     [0.02, 0.04]
##         x_ff 18.56 [12.75,  27.25]         4.31      0.05     [0.04, 0.08]
##        x10_3 10.94 [ 7.60,  15.98]         3.31      0.09     [0.06, 0.13]
##           PF 70.57 [47.94, 104.11]         8.40      0.01     [0.01, 0.02]
##        cpium 13.04 [ 9.02,  19.09]         3.61      0.08     [0.05, 0.11]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.52631, p-value = 0.9446

2. Forecasts

## [1] 0.00104258

## [1] 0.0009981261

## [1] 0.6433554