S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:44:05

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 = 0.238).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.146).

## OK: Error variance appears to be homoscedastic (p = 0.849).

## 
##  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 = 8.4649, 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,   4.65]         1.81      0.31     [0.21, 0.41]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 8.58 [ 6.01,  12.46]         2.93      0.12     [0.08, 0.17]
##  L(indpro, 1) 5.16 [ 3.69,   7.42]         2.27      0.19     [0.13, 0.27]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 42.61 [29.11,  62.60]         6.53      0.02     [0.02, 0.03]
##           sc 13.72 [ 9.50,  20.03]         3.70      0.07     [0.05, 0.11]
##           m1 40.12 [27.42,  58.93]         6.33      0.02     [0.02, 0.04]
##         x_ff 20.05 [13.80,  29.36]         4.48      0.05     [0.03, 0.07]
##        x10_3 11.86 [ 8.24,  17.29]         3.44      0.08     [0.06, 0.12]
##           PF 72.66 [49.50, 106.88]         8.52      0.01     [0.01, 0.02]
##        cpium 12.51 [ 8.68,  18.24]         3.54      0.08     [0.05, 0.12]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.53184, p-value = 0.9399

2. Forecasts

## [1] 0.001122134

## [1] 0.0009982504

## [1] 2.677267