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.
| Version: | 0.2.5 |
| 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 |
| Published: | 2018-09-11 |
| Author: | Stephen H-T. Lihn [aut, cre] |
| Maintainer: | Stephen H-T. Lihn <stevelihn at gmail.com> |
| License: | Artistic-2.0 |
| URL: | https://ssrn.com/abstract=3156574 |
| NeedsCompilation: | no |
| Materials: | NEWS |
| CRAN checks: | jubilee results |
| Reference manual: | jubilee.pdf |
| Vignettes: |
Jubilee: Forecasting Long-Term Growth of S&P 500 Index |
| Package source: | jubilee_0.2.5.tar.gz |
| Windows binaries: | r-devel: jubilee_0.2.5.zip, r-release: jubilee_0.2.5.zip, r-oldrel: jubilee_0.2.5.zip |
| OS X binaries: | r-release: jubilee_0.2.5.tgz, r-oldrel: jubilee_0.2.5.tgz |
| Old sources: | jubilee archive |
Please use the canonical form https://CRAN.R-project.org/package=jubilee to link to this page.