S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:47:23

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 = 0.256).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.208).

## OK: Error variance appears to be homoscedastic (p = 0.975).

## 
##  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 = 8.8505, 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 3.04 [ 2.26,   4.28]         1.74      0.33     [0.23, 0.44]
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        indpro 8.55 [ 6.02,  12.36]         2.92      0.12     [0.08, 0.17]
##  L(indpro, 1) 5.19 [ 3.73,   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) 46.81 [32.10,  68.47]         6.84      0.02     [0.01, 0.03]
##           sc 13.25 [ 9.22,  19.26]         3.64      0.08     [0.05, 0.11]
##           m1 40.60 [27.86,  59.37]         6.37      0.02     [0.02, 0.04]
##         x_ff 22.92 [15.81,  33.43]         4.79      0.04     [0.03, 0.06]
##        x10_3 13.22 [ 9.20,  19.20]         3.64      0.08     [0.05, 0.11]
##           PF 71.25 [48.76, 104.33]         8.44      0.01     [0.01, 0.02]
##        cpium 10.24 [ 7.17,  14.83]         3.20      0.10     [0.07, 0.14]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.53381, p-value = 0.9381

2. Forecasts

## [1] 0.001102892

## [1] 0.0009979185

## [1] 1.223574