S&P 500 Materials: Model specifications & Forecasts

Last updated: 20-07-2024
Time: 15:41:44

## OK: residuals appear as normally distributed (p = 0.119).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.230).

## OK: Error variance appears to be homoscedastic (p = 0.732).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(M) ~ L(M, 1) + L(psR, 1) + sc + L(TCI_R2, 1) + m1 + L(indpro,     1) + L(x_ff, 1) + L(x10_3, 1) + PFM + cpium + d(psR) + d(TCI_R2) +     d(indpro) + d(x_ff) + d(x10_3)
## F = 4.0208, p-value = 0.003651
## 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 5.60 [  4.13,   7.75]         2.37      0.18     [0.13, 0.24]
##  L(TCI_R2, 1) 6.43 [  4.72,   8.94]         2.54      0.16     [0.11, 0.21]
## 
## High Correlation
## 
##          Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##       L(M, 1)  22.64 [ 16.17,  31.88]         4.76      0.04     [0.03, 0.06]
##           psR 151.66 [107.32, 214.50]        12.32  6.59e-03     [0.00, 0.01]
##     L(psR, 1) 158.51 [112.16, 224.18]        12.59  6.31e-03     [0.00, 0.01]
##            sc  14.85 [ 10.66,  20.84]         3.85      0.07     [0.05, 0.09]
##            m1  62.41 [ 44.27,  88.17]         7.90      0.02     [0.01, 0.02]
##        indpro  12.64 [  9.10,  17.72]         3.56      0.08     [0.06, 0.11]
##  L(indpro, 1)  12.85 [  9.25,  18.02]         3.59      0.08     [0.06, 0.11]
##          x_ff 115.43 [ 81.72, 163.21]        10.74  8.66e-03     [0.01, 0.01]
##    L(x_ff, 1) 164.53 [116.42, 232.71]        12.83  6.08e-03     [0.00, 0.01]
##         x10_3  32.10 [ 22.85,  45.26]         5.67      0.03     [0.02, 0.04]
##   L(x10_3, 1)  28.76 [ 20.49,  40.54]         5.36      0.03     [0.02, 0.05]
##           PFM  33.66 [ 23.95,  47.47]         5.80      0.03     [0.02, 0.04]
##         cpium  11.21 [  8.09,  15.70]         3.35      0.09     [0.06, 0.12]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.42899, p-value = 0.9928

Last Value (Monthly):
30-06-2024: 562.77

Forecasts (value):
31-07-2024: 561.42
09-08-2024: 562.37

Forecasts(in %):
31-07-2024: -0.24%
09-08-2024: -0.07%