S&P 500 Utilities: Model specifications & Forecasts

Last updated: 20-07-2024
Time: 16:09:35

## OK: residuals appear as normally distributed (p = 0.113).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.564).

## OK: Error variance appears to be homoscedastic (p = 0.176).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(U) ~ L(U, 1) + psR + L(sc, 1) + L(TCI_R2, 1) + L(m1, 1) + L(indpro,     1) + x_ff + L(x10_3, 1) + PF + L(cpium, 1) + d(sc) + d(TCI_R2) +     d(m1) + d(indpro) + d(x10_3) + d(cpium)
## F = 3.7676, p-value = 0.007891
## 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 6.11 [ 4.66,   8.13]         2.47      0.16     [0.12, 0.21]
##  L(TCI_R2, 1) 5.92 [ 4.52,   7.87]         2.43      0.17     [0.13, 0.22]
## 
## High Correlation
## 
##          Term    VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##       L(U, 1)  18.17 [13.56,  24.47]         4.26      0.06     [0.04, 0.07]
##           psR 100.05 [74.00, 135.39]        10.00  9.99e-03     [0.01, 0.01]
##            sc  18.27 [13.64,  24.60]         4.27      0.05     [0.04, 0.07]
##      L(sc, 1)  17.96 [13.40,  24.18]         4.24      0.06     [0.04, 0.07]
##            m1  96.35 [71.27, 130.38]         9.82      0.01     [0.01, 0.01]
##      L(m1, 1)  96.99 [71.75, 131.25]         9.85      0.01     [0.01, 0.01]
##        indpro  11.03 [ 8.29,  14.80]         3.32      0.09     [0.07, 0.12]
##  L(indpro, 1)  11.07 [ 8.32,  14.85]         3.33      0.09     [0.07, 0.12]
##          x_ff  37.30 [27.68,  50.38]         6.11      0.03     [0.02, 0.04]
##         x10_3  42.76 [31.71,  57.77]         6.54      0.02     [0.02, 0.03]
##   L(x10_3, 1)  37.89 [28.12,  51.18]         6.16      0.03     [0.02, 0.04]
##            PF  77.68 [57.49, 105.09]         8.81      0.01     [0.01, 0.02]
##         cpium  13.17 [ 9.87,  17.69]         3.63      0.08     [0.06, 0.10]
##   L(cpium, 1)  12.40 [ 9.30,  16.65]         3.52      0.08     [0.06, 0.11]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.31343, p-value = 1

Last Value (Monthly):
30-06-2024: 350.06

Forecasts (value):
31-07-2024: 378.17
09-08-2024: 379.59

Forecasts(in %):
31-07-2024: 8.03%
09-08-2024: 8.44%