S&P 500 Energy: Model specifications & Forecasts

Last updated: 20-07-2024
Time: 15:39:04

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

## OK: Residuals appear to be independent and not autocorrelated (p = 0.830).

## OK: Error variance appears to be homoscedastic (p = 0.888).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(E) ~ L(E, 1) + ps + L(sc, 1) + PF + L(m1, 1) + L(E_TO_R, 1) +     x_ff + x10_3 + PFE + cpium + d(sc) + d(m1) + d(E_TO_R)
## F = 4.3516, p-value = 0.001419
## alternative hypothesis: Possible cointegration
## null values:
##    k    T 
##    9 1000

## # Check for Multicollinearity
## 
## High Correlation
## 
##          Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##       L(E, 1)  12.14 [  9.10,  16.31]         3.48      0.08     [0.06, 0.11]
##            ps 324.38 [239.28, 439.87]        18.01  3.08e-03     [0.00, 0.00]
##            sc  15.75 [ 11.76,  21.21]         3.97      0.06     [0.05, 0.09]
##      L(sc, 1)  14.28 [ 10.68,  19.22]         3.78      0.07     [0.05, 0.09]
##            PF 156.21 [115.31, 211.75]        12.50  6.40e-03     [0.00, 0.01]
##            m1  69.20 [ 51.16,  93.72]         8.32      0.01     [0.01, 0.02]
##      L(m1, 1)  87.01 [ 64.29, 117.87]         9.33      0.01     [0.01, 0.02]
##        E_TO_R  13.45 [ 10.07,  18.10]         3.67      0.07     [0.06, 0.10]
##  L(E_TO_R, 1)  12.97 [  9.72,  17.45]         3.60      0.08     [0.06, 0.10]
##          x_ff  41.31 [ 30.60,  55.89]         6.43      0.02     [0.02, 0.03]
##         x10_3  21.93 [ 16.32,  29.60]         4.68      0.05     [0.03, 0.06]
##           PFE  21.12 [ 15.72,  28.50]         4.60      0.05     [0.04, 0.06]
##         cpium  10.06 [  7.57,  13.50]         3.17      0.10     [0.07, 0.13]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.40587, p-value = 0.9965

Last Value (Monthly):
30-06-2024: 680.01

Forecasts (value):
31-07-2024: 658.65
09-08-2024: 655.91

Forecasts(in %):
31-07-2024: -3.14%
09-08-2024: -3.54%