S&P 500 Financials: Model specifications & Forecasts

Last updated: 29-07-2024
Time: 11:31:29

## OK: residuals appear as normally distributed (p = 0.154).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.778).

## OK: Error variance appears to be homoscedastic (p = 0.860).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(F) ~ L(F, 1) + psR + sc + TCI_R2 + L(m1, 1) + indpro + x_ff +     L(x10_3, 1) + PF + cpium + d(m1) + d(x10_3)
## F = 6.1865, p-value = 1e-06
## alternative hypothesis: Possible cointegration
## null values:
##    k    T 
##    9 1000

## # Check for Multicollinearity
## 
## Low Correlation
## 
##    Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  TCI_R2 2.81 [ 2.13,   3.89]         1.68      0.36     [0.26, 0.47]
## 
## Moderate Correlation
## 
##    Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  indpro 8.49 [ 6.07,  12.09]         2.91      0.12     [0.08, 0.16]
##   cpium 8.91 [ 6.36,  12.69]         2.99      0.11     [0.08, 0.16]
## 
## High Correlation
## 
##         Term    VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##      L(F, 1)  10.40 [ 7.38,  14.83]         3.22      0.10     [0.07, 0.14]
##          psR 115.98 [80.53, 167.24]        10.77  8.62e-03     [0.01, 0.01]
##           sc  12.99 [ 9.18,  18.58]         3.60      0.08     [0.05, 0.11]
##           m1  74.28 [51.64, 107.05]         8.62      0.01     [0.01, 0.02]
##     L(m1, 1)  30.30 [21.17,  43.56]         5.50      0.03     [0.02, 0.05]
##         x_ff  22.36 [15.67,  32.11]         4.73      0.04     [0.03, 0.06]
##        x10_3  29.62 [20.70,  42.58]         5.44      0.03     [0.02, 0.05]
##  L(x10_3, 1)  23.95 [16.77,  34.40]         4.89      0.04     [0.03, 0.06]
##           PF  64.99 [45.20,  93.64]         8.06      0.02     [0.01, 0.02]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.39922, p-value = 0.9973

Last Value (Monthly):
30-06-2024: 685.72

Forecasts (value):
31-07-2024: 662.07
09-08-2024: 663.79

Forecasts(in %):
31-07-2024: -3.45%
09-08-2024: -3.2%