Pictet LPP 2000-60 Index : Model specifications & Forecasts

Last updated: 29-07-2024
Time: 11:30:13

## OK: residuals appear as normally distributed (p = 0.054).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.298).

## OK: Error variance appears to be homoscedastic (p = 0.131).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(LPP20060) ~ L(LPP20060, 1) + L(psR, 1) + L(sc, 1) + L(TCI_R2,     1) + m1 + L(indpro, 1) + x_ff + x10_3 + PF + cpium + d(psR) +     d(sc) + d(L(sc, 1)) + d(TCI_R2) + d(indpro)
## F = 9.4187, 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 5.41 [  4.12,   7.23]         2.33      0.18     [0.14, 0.24]
##  L(TCI_R2, 1) 5.22 [  3.98,   6.98]         2.29      0.19     [0.14, 0.25]
##  L(indpro, 1) 7.98 [  6.00,  10.74]         2.82      0.13     [0.09, 0.17]
## 
## High Correlation
## 
##            Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(LPP20060, 1)  84.44 [ 62.03, 115.07]         9.19      0.01     [0.01, 0.02]
##             psR 411.00 [301.32, 560.73]        20.27  2.43e-03     [0.00, 0.00]
##       L(psR, 1) 405.37 [297.20, 553.05]        20.13  2.47e-03     [0.00, 0.00]
##              sc  18.84 [ 13.96,  25.56]         4.34      0.05     [0.04, 0.07]
##        L(sc, 1)  24.19 [ 17.88,  32.86]         4.92      0.04     [0.03, 0.06]
##        L(sc, 2)  14.77 [ 10.98,  20.01]         3.84      0.07     [0.05, 0.09]
##              m1  32.94 [ 24.29,  44.81]         5.74      0.03     [0.02, 0.04]
##          indpro  12.51 [  9.32,  16.92]         3.54      0.08     [0.06, 0.11]
##            x_ff  43.75 [ 32.21,  59.56]         6.61      0.02     [0.02, 0.03]
##           x10_3  21.66 [ 16.02,  29.41]         4.65      0.05     [0.03, 0.06]
##              PF 220.89 [162.01, 301.29]        14.86  4.53e-03     [0.00, 0.01]
##           cpium  11.13 [  8.31,  15.04]         3.34      0.09     [0.07, 0.12]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.54246, p-value = 0.9302

Last Value (Monthly):
30-06-2024: 227.55

Forecasts (value):
31-07-2024: 219.83
09-08-2024: 220.77

Forecasts(in %):
31-07-2024: -3.39%
09-08-2024: -2.98%