S&P 500 Index: Model specifications & Forecasts

Last updated: 20-07-2024
Time: 15:38:27

## OK: residuals appear as normally distributed (p = 0.482).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.650).

## OK: Error variance appears to be homoscedastic (p = 0.862).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(SP500) ~ L(SP500, 1) + psR + 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 = 4.7614, p-value = 0.0008031
## 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 6.07 [  4.44,   8.48]         2.46      0.16     [0.12, 0.23]
##  L(TCI_R2, 1) 6.62 [  4.82,   9.26]         2.57      0.15     [0.11, 0.21]
##        indpro 9.86 [  7.10,  13.88]         3.14      0.10     [0.07, 0.14]
## 
## High Correlation
## 
##          Term    VIF       VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##   L(SP500, 1)  64.51 [ 45.46,  91.74]         8.03      0.02     [0.01, 0.02]
##           psR 166.50 [117.04, 237.04]        12.90  6.01e-03     [0.00, 0.01]
##            sc  17.41 [ 12.39,  24.63]         4.17      0.06     [0.04, 0.08]
##            m1  63.36 [ 44.65,  90.10]         7.96      0.02     [0.01, 0.02]
##  L(indpro, 1)  12.24 [  8.76,  17.26]         3.50      0.08     [0.06, 0.11]
##          x_ff 101.81 [ 71.64, 144.88]        10.09  9.82e-03     [0.01, 0.01]
##    L(x_ff, 1) 147.15 [103.46, 209.47]        12.13  6.80e-03     [0.00, 0.01]
##         x10_3  29.52 [ 20.89,  41.88]         5.43      0.03     [0.02, 0.05]
##   L(x10_3, 1)  32.03 [ 22.65,  45.45]         5.66      0.03     [0.02, 0.04]
##            PF 186.56 [131.12, 265.62]        13.66  5.36e-03     [0.00, 0.01]
##         cpium  10.31 [  7.41,  14.52]         3.21      0.10     [0.07, 0.13]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.42307, p-value = 0.994

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

Forecasts (value):
31-07-2024: 5347.76
09-08-2024: 5377.39

Forecasts(in %):
31-07-2024: -2.06%
09-08-2024: -1.51%