S&P 500 Consumer Discretionary: Model specifications & Forecasts

Last updated: 20-07-2024
Time: 15:37:54

## OK: residuals appear as normally distributed (p = 0.722).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.328).

## OK: Error variance appears to be homoscedastic (p = 0.721).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(CD) ~ L(CD, 1) + L(psR, 1) + sc + PF + m1 + CD_FROM_R + x_ff +     x10_3 + PFCD + L(cpium, 1) + d(psR) + d(cpium)
## F = 7.2098, 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
##  CD_FROM_R 2.53 [  1.94,   3.49]         1.59      0.40     [0.29, 0.52]
## 
## Moderate Correlation
## 
##         Term  VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(cpium, 1) 9.22 [  6.57,  13.13]         3.04      0.11     [0.08, 0.15]
## 
## High Correlation
## 
##       Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##   L(CD, 1)  26.73 [ 18.70,  38.40]         5.17      0.04     [0.03, 0.05]
##        psR 122.80 [ 85.25, 177.08]        11.08  8.14e-03     [0.01, 0.01]
##  L(psR, 1) 173.97 [120.70, 250.95]        13.19  5.75e-03     [0.00, 0.01]
##         sc  17.43 [ 12.25,  24.98]         4.17      0.06     [0.04, 0.08]
##         PF 212.24 [147.21, 306.19]        14.57  4.71e-03     [0.00, 0.01]
##         m1  69.80 [ 48.53, 100.57]         8.35      0.01     [0.01, 0.02]
##       x_ff  38.11 [ 26.58,  54.83]         6.17      0.03     [0.02, 0.04]
##      x10_3  17.83 [ 12.53,  25.56]         4.22      0.06     [0.04, 0.08]
##       PFCD  53.67 [ 37.36,  77.29]         7.33      0.02     [0.01, 0.03]
##      cpium  11.38 [  8.06,  16.25]         3.37      0.09     [0.06, 0.12]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.39115, p-value = 0.998

Last Value (Monthly):
30-06-2024: 1470

Forecasts (value):
31-07-2024: 1612.95
09-08-2024: 1630.73

Forecasts(in %):
31-07-2024: 9.72%
09-08-2024: 10.93%