S&P 500 Industrials: Model specifications & Forecasts
Last
updated: 29-07-2024
Time:
11:31:39
## OK: residuals appear as normally distributed (p = 0.616).## OK: Residuals appear to be independent and not autocorrelated (p = 0.414).## OK: Error variance appears to be homoscedastic (p = 0.125).##
## Bounds F-test (Wald) for no cointegration
##
## data: d(I) ~ L(I, 1) + ps + sc + L(TCI_R2, 1) + m1 + indpro + x_ff + L(x10_3, 1) + L(PF, 1) + cpium + d(TCI_R2) + d(x10_3) + d(PF)
## F = 5.4693, p-value = 0.0003541
## alternative hypothesis: Possible cointegration
## null values:
## k T
## 9 1000## # Check for Multicollinearity
##
## Moderate Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## TCI_R2 6.49 [ 4.70, 9.13] 2.55 0.15 [0.11, 0.21]
## L(TCI_R2, 1) 5.47 [ 3.99, 7.67] 2.34 0.18 [0.13, 0.25]
## indpro 8.70 [ 6.25, 12.31] 2.95 0.11 [0.08, 0.16]
## cpium 8.64 [ 6.20, 12.22] 2.94 0.12 [0.08, 0.16]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## L(I, 1) 21.95 [ 15.48, 31.30] 4.69 0.05 [0.03, 0.06]
## ps 250.74 [175.02, 359.40] 15.83 3.99e-03 [0.00, 0.01]
## sc 14.07 [ 9.99, 20.00] 3.75 0.07 [0.05, 0.10]
## m1 80.03 [ 55.98, 114.59] 8.95 0.01 [0.01, 0.02]
## x_ff 35.05 [ 24.62, 50.09] 5.92 0.03 [0.02, 0.04]
## x10_3 26.29 [ 18.51, 37.53] 5.13 0.04 [0.03, 0.05]
## L(x10_3, 1) 21.46 [ 15.14, 30.59] 4.63 0.05 [0.03, 0.07]
## PF 210.03 [146.63, 301.02] 14.49 4.76e-03 [0.00, 0.01]
## L(PF, 1) 162.17 [113.26, 232.38] 12.73 6.17e-03 [0.00, 0.01]##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.47118, p-value = 0.9795
Last Value
(Monthly):
30-06-2024: 1038.17
Forecasts
(value):
31-07-2024: 998.27
09-08-2024: 1002.11
Forecasts(in
%):
31-07-2024: -3.84%
09-08-2024: -3.47%