jubilee

Forecasting Long-Term Growth of the U.S. Stock Market

A long-term forecast model called "Jubilee-Tectonic model" is implemented to forecast future returns of the U.S. stock market, Treasury yield, and gold price. The five-factor model can forecast the 10-year and 20-year future equity returns with high R-squared above 80 percent. It is based on linear growth and mean reversion characteristics in the U.S. stock market. In addition, this model enhances the CAPE model by introducing the hypothesis that there are fault lines in the historical CAPE, which can be calibrated and corrected through statistical learning.

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Description file content

Package
jubilee
Type
Package
Title
Forecasting Long-Term Growth of the U.S. Stock Market
Version
0.2.5
Date
2018-09-10
Author
Stephen H-T. Lihn [aut, cre]
Maintainer
Stephen H-T. Lihn
Description
A long-term forecast model called "Jubilee-Tectonic model" is implemented to forecast future returns of the U.S. stock market, Treasury yield, and gold price. The five-factor model can forecast the 10-year and 20-year future equity returns with high R-squared above 80 percent. It is based on linear growth and mean reversion characteristics in the U.S. stock market. In addition, this model enhances the CAPE model by introducing the hypothesis that there are fault lines in the historical CAPE, which can be calibrated and corrected through statistical learning.
URL
Depends
R (>= 3.3.0)
Imports
stats, yaml, utils, xts, zoo, splines, parallel, graphics, methods, readxl, data.table
Suggests
knitr, tinytex, R.rsp, testthat, roxygen2, scales, shape
VignetteBuilder
R.rsp
License
Artistic-2.0
Encoding
UTF-8
LazyData
true
RoxygenNote
6.1.0
Collate
'daily2fraction-method.R' 'fraction2daily-method.R' 'jubilee-adj-fault-line-method.R' 'jubilee-calc-cape-method.R' 'jubilee-package.R' 'jubilee-class.R' 'jubilee-constructor.R' 'jubilee-eqty-ols-method.R' 'jubilee-forward-rtn-method.R' 'jubilee-fred-data-method.R' 'jubilee-locate-file.R' 'jubilee-mcsapply-method.R' 'jubilee-ols-method.R' 'jubilee-predict-method.R' 'jubilee-read-fred-file.R' 'jubilee-repo-class.R' 'jubilee-repo-config.R' 'jubilee-repo-constructor.R' 'jubilee-std-fault-line-method.R' 'tri-wave-class.R' 'tri-wave-constructor.R' 'tri-wave-model.R'
NeedsCompilation
no
Packaged
2018-09-11 19:17:24 UTC; slihn
Repository
CRAN
Date/Publication
2018-09-11 19:40:02 UTC

install.packages('jubilee')

0.2.5

2 months ago

https://ssrn.com/abstract=3156574

Stephen H-T. Lihn

Artistic-2.0

Depends on

R (>= 3.3.0)

Imports

stats, yaml, utils, xts, zoo, splines, parallel, graphics, methods, readxl, data.table

Suggests

knitr, tinytex, R.rsp, testthat, roxygen2, scales, shape

Discussions