2017MAY09 S&P500 Forecast

With the assumption that nominal GDP annual growth rate is 4.0%. Other data are calculated by auto regression.



> my_sp5(19383.72,146533.6,1102.529)    #2017Q3
[1] "m_m params! apply.quarter - UC w/ nominal GDP"
[1] 2413.117
> my_sp5(19574.71,146980.6,1110.716)   #2017Q4
[1] "m_m params! apply.quarter - UC w/ nominal GDP"
[1] 2476.287
> my_sp5(19767.59,147405.9,1117.029)   #2018Q1
[1] "m_m params! apply.quarter - UC w/ nominal GDP"
[1] 2540.103


> as.xts(forecast(auto.arima(PA),h=10)$mean[1:10],as.Date(as.yearmon(seq(mondate(index(last(PA)))+1,by=1,length.out=10))))[(3-month(index(last(PA))) %% 3) + c(1,4,7)]
               [,1]
2017-07-01 146533.6
2017-10-01 146980.6
2018-01-01 147405.9
> as.xts(forecast(auto.arima(UC),h=10)$mean[1:10],as.Date(as.yearmon(seq(mondate(index(last(UC)))+1,by=1,length.out=10))))[(3-month(index(last(UC))) %% 3) + c(1,4,7)]
               [,1]
2017-07-01 1102.529
2017-10-01 1110.716
2018-01-01 1117.029

> as.numeric(last(GDP))*(1.04**(c(1,2,3,4)/c(4)))
[1] 19194.59 19383.72 19574.71 19767.59