S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:45:28

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 = 0.210).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.174).

## 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 = 8.5817, 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 3.11 [ 2.31,   4.41]         1.76      0.32     [0.23, 0.43]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 8.59 [ 6.03,  12.45]         2.93      0.12     [0.08, 0.17]
##  L(indpro, 1) 5.17 [ 3.71,   7.43]         2.27      0.19     [0.13, 0.27]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 43.61 [29.83,  63.98]         6.60      0.02     [0.02, 0.03]
##           sc 13.29 [ 9.22,  19.37]         3.65      0.08     [0.05, 0.11]
##           m1 40.01 [27.39,  58.69]         6.33      0.02     [0.02, 0.04]
##         x_ff 20.95 [14.43,  30.64]         4.58      0.05     [0.03, 0.07]
##        x10_3 12.43 [ 8.64,  18.10]         3.52      0.08     [0.06, 0.12]
##           PF 71.21 [48.59, 104.58]         8.44      0.01     [0.01, 0.02]
##        cpium 11.70 [ 8.14,  17.03]         3.42      0.09     [0.06, 0.12]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.52311, p-value = 0.9472

2. Forecasts

## [1] 0.001117151

## [1] 0.0009896037

## [1] -1.917559