S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:46:29

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 = 0.254).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.194).

## OK: Error variance appears to be homoscedastic (p = 0.874).

## 
##  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 = 8.6869, 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 3.05 [ 2.27,   4.31]         1.75      0.33     [0.23, 0.44]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 8.58 [ 6.03,  12.42]         2.93      0.12     [0.08, 0.17]
##  L(indpro, 1) 5.19 [ 3.72,   7.44]         2.28      0.19     [0.13, 0.27]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 44.96 [30.80,  65.87]         6.71      0.02     [0.02, 0.03]
##           sc 13.28 [ 9.23,  19.33]         3.64      0.08     [0.05, 0.11]
##           m1 40.32 [27.63,  59.05]         6.35      0.02     [0.02, 0.04]
##         x_ff 21.94 [15.13,  32.05]         4.68      0.05     [0.03, 0.07]
##        x10_3 12.79 [ 8.89,  18.60]         3.58      0.08     [0.05, 0.11]
##           PF 70.25 [48.01, 103.02]         8.38      0.01     [0.01, 0.02]
##        cpium 10.61 [ 7.41,  15.41]         3.26      0.09     [0.06, 0.13]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.5282, p-value = 0.943

2. Forecasts

## [1] 0.001115402

## [1] 0.0009615626

## [1] 2.745468