S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 29-07-2024
Time: 11:31:09

1. Model Specification

Period:
50

Specification:
SP500=f(SC, TCI_R, m1, indpro, x_ff, x10_3, PF, cpium)

## OK: residuals appear as normally distributed (p = 0.456).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.566).

## OK: Error variance appears to be homoscedastic (p = 0.606).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(SP500) ~ L(SP500, 1) + sc + L(TCI_R2, 1) + m1 + L(indpro, 1) +     L(x_ff, 1) + L(x10_3, 1) + PF + cpium + d(TCI_R2) + d(indpro) +     d(x_ff) + d(x10_3)
## F = 5.6419, p-value = 0.0002637
## alternative hypothesis: Possible cointegration
## null values:
##    k    T 
##    8 1000

## # Check for Multicollinearity
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##        TCI_R2 6.04 [ 4.41,   8.43]         2.46      0.17     [0.12, 0.23]
##  L(TCI_R2, 1) 6.78 [ 4.93,   9.49]         2.60      0.15     [0.11, 0.20]
##  L(indpro, 1) 8.83 [ 6.37,  12.41]         2.97      0.11     [0.08, 0.16]
##         cpium 9.74 [ 7.01,  13.71]         3.12      0.10     [0.07, 0.14]
## 
## High Correlation
## 
##         Term    VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1)  69.21 [48.75,  98.43]         8.32      0.01     [0.01, 0.02]
##           sc  15.32 [10.93,  21.66]         3.91      0.07     [0.05, 0.09]
##           m1  48.28 [34.06,  68.62]         6.95      0.02     [0.01, 0.03]
##       indpro  10.04 [ 7.22,  14.13]         3.17      0.10     [0.07, 0.14]
##         x_ff  95.16 [66.97, 135.41]         9.76      0.01     [0.01, 0.01]
##   L(x_ff, 1) 122.87 [86.41, 174.89]        11.08  8.14e-03     [0.01, 0.01]
##        x10_3  29.81 [21.10,  42.31]         5.46      0.03     [0.02, 0.05]
##  L(x10_3, 1)  31.62 [22.37,  44.89]         5.62      0.03     [0.02, 0.04]
##           PF  97.90 [68.89, 139.32]         9.89      0.01     [0.01, 0.01]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.43938, p-value = 0.9904

2. Forecasts

Last Value (Monthly):
30-06-2024: 5460

Forecasts (value):
31-07-2024: 5353.78
09-08-2024: 5384.98

Forecasts(in %):
31-07-2024: -1.95%
09-08-2024: -1.37%