S&P 500 Information Technology: Model specifications & Forecasts
Last
updated: 20-07-2024
Time:
15:37:27
## OK: residuals appear as normally distributed (p = 0.883).## OK: Residuals appear to be independent and not autocorrelated (p = 0.442).## OK: Error variance appears to be homoscedastic (p = 0.183).##
## Bounds F-test (Wald) for no cointegration
##
## data: d(IT) ~ L(IT, 1) + psR + sc + L(TCI_R2, 1) + m1 + indpro + L(x_ff, 1) + L(x10_3, 1) + L(PFIT, 1) + cpium + d(TCI_R2) + d(x_ff) + d(x10_3) + d(PFIT)
## F = 4.6507, p-value = 0.0008732
## 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 5.96 [ 4.42, 8.20] 2.44 0.17 [0.12, 0.23]
## L(TCI_R2, 1) 6.12 [ 4.53, 8.42] 2.47 0.16 [0.12, 0.22]
## indpro 9.52 [ 6.96, 13.19] 3.09 0.11 [0.08, 0.14]
##
## High Correlation
##
## Term VIF VIF 95% CI Increased SE Tolerance Tolerance 95% CI
## L(IT, 1) 98.67 [ 70.52, 138.21] 9.93 0.01 [0.01, 0.01]
## psR 105.35 [ 75.28, 147.58] 10.26 9.49e-03 [0.01, 0.01]
## sc 12.37 [ 8.98, 17.18] 3.52 0.08 [0.06, 0.11]
## m1 62.93 [ 45.03, 88.09] 7.93 0.02 [0.01, 0.02]
## x_ff 102.56 [ 73.30, 143.68] 10.13 9.75e-03 [0.01, 0.01]
## L(x_ff, 1) 136.90 [ 97.78, 191.84] 11.70 7.30e-03 [0.01, 0.01]
## x10_3 28.22 [ 20.29, 39.41] 5.31 0.04 [0.03, 0.05]
## L(x10_3, 1) 33.19 [ 23.83, 46.38] 5.76 0.03 [0.02, 0.04]
## PFIT 953.76 [680.23, 1337.45] 30.88 1.05e-03 [0.00, 0.00]
## L(PFIT, 1) 840.84 [599.71, 1179.09] 29.00 1.19e-03 [0.00, 0.00]
## cpium 11.72 [ 8.53, 16.28] 3.42 0.09 [0.06, 0.12]##
## OLS-based CUSUM test
##
## data: ocus
## S0 = 0.37596, p-value = 0.9989
Last Value
(Monthly):
30-06-2024: 4360.2
Forecasts
(value):
31-07-2024: 4377.25
09-08-2024: 4420.47
Forecasts(in
%):
31-07-2024: 0.39%
09-08-2024: 1.38%