S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:42:52

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 = 0.252).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.114).

## OK: Error variance appears to be homoscedastic (p = 0.743).

## 
##  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 = 8.3791, 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,   4.66]         1.81      0.31     [0.21, 0.41]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 8.70 [ 6.09,  12.66]         2.95      0.11     [0.08, 0.16]
##  L(indpro, 1) 5.14 [ 3.68,   7.40]         2.27      0.19     [0.14, 0.27]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 41.62 [28.40,  61.23]         6.45      0.02     [0.02, 0.04]
##           sc 14.23 [ 9.84,  20.82]         3.77      0.07     [0.05, 0.10]
##           m1 39.81 [27.17,  58.56]         6.31      0.03     [0.02, 0.04]
##         x_ff 19.17 [13.18,  28.11]         4.38      0.05     [0.04, 0.08]
##        x10_3 11.27 [ 7.83,  16.45]         3.36      0.09     [0.06, 0.13]
##           PF 70.64 [48.06, 104.05]         8.40      0.01     [0.01, 0.02]
##        cpium 13.11 [ 9.07,  19.16]         3.62      0.08     [0.05, 0.11]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.51896, p-value = 0.9505

2. Forecasts

## [1] 0.001120496

## [1] 0.0009908337

## [1] 5.990442