Pictet LPP 2000-40 Index : Model specifications & Forecasts

Last updated: 29-07-2024
Time: 11:30:26

## OK: residuals appear as normally distributed (p = 0.061).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.814).

## OK: Error variance appears to be homoscedastic (p = 0.204).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(LPP20040) ~ L(LPP20040, 1) + L(psR, 1) + L(sc, 1) + L(TCI_R2,     1) + m1 + L(indpro, 1) + L(x_ff, 1) + L(x10_3, 1) + PF +     cpium + d(psR) + d(sc) + d(L(sc, 1)) + d(TCI_R2) + d(indpro) +     d(x_ff) + d(x10_3)
## F = 6.7392, p-value = 1e-06
## 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 5.65 [  4.32,   7.51]         2.38      0.18     [0.13, 0.23]
##  L(TCI_R2, 1) 5.86 [  4.47,   7.80]         2.42      0.17     [0.13, 0.22]
## 
## High Correlation
## 
##            Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(LPP20040, 1)  82.23 [ 60.81, 111.33]         9.07      0.01     [0.01, 0.02]
##             psR 435.16 [321.14, 589.78]        20.86  2.30e-03     [0.00, 0.00]
##       L(psR, 1) 434.54 [320.68, 588.94]        20.85  2.30e-03     [0.00, 0.00]
##              sc  19.39 [ 14.45,  26.14]         4.40      0.05     [0.04, 0.07]
##        L(sc, 1)  24.48 [ 18.21,  33.04]         4.95      0.04     [0.03, 0.05]
##        L(sc, 2)  15.42 [ 11.53,  20.76]         3.93      0.06     [0.05, 0.09]
##              m1  34.04 [ 25.26,  45.99]         5.83      0.03     [0.02, 0.04]
##          indpro  15.31 [ 11.45,  20.61]         3.91      0.07     [0.05, 0.09]
##    L(indpro, 1)  11.08 [  8.32,  14.87]         3.33      0.09     [0.07, 0.12]
##            x_ff 143.97 [106.35, 195.03]        12.00  6.95e-03     [0.01, 0.01]
##      L(x_ff, 1) 138.31 [102.17, 187.36]        11.76  7.23e-03     [0.01, 0.01]
##           x10_3  39.58 [ 29.34,  53.51]         6.29      0.03     [0.02, 0.03]
##     L(x10_3, 1)  43.73 [ 32.41,  59.14]         6.61      0.02     [0.02, 0.03]
##              PF 251.91 [185.97, 341.37]        15.87  3.97e-03     [0.00, 0.01]
##           cpium  12.26 [  9.19,  16.47]         3.50      0.08     [0.06, 0.11]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.50615, p-value = 0.9599

Last Value (Monthly):
30-06-2024: 210.4

Forecasts (value):
31-07-2024: 203.97
09-08-2024: 204.73

Forecasts(in %):
31-07-2024: -3.06%
09-08-2024: -2.69%