Project:Sandbox

DerivedMarket:

SP500:

Model_Var_Name:

- SP500

Estimation_Module:

Q: ols

Projection_Module:

Q: sp500

Projection_Freq:

- Q

Output_Freq:

- Q

Model_Dependency:

- ML_A_BBB_UST30Y

- VIX

- NGDP

Historical_Downloads:

Q:

Actual:

- SP500

- NGDP

- VIX

- ML_A_BBB

- UST 30Y

Projection_Downloads:

Q:

Projection:

- {SP500: SP500_FUT}

Train_Date:

Q: 1990-03-01

Model_Statements:

Q:

- DLN_R_SP500_NGDP ~ D_VIX + D_ML_A_BBB_UST30Y

Attribution_Var:

Q:

- D_VIX

- D_ML_A_BBB_UST30Y

- DLN_NGDP

- DLN_SP500_FUT

- QQ_NGDP

Dependent_Variable_Transformations:

- {method: ratio_df, var_1: SP500, var_2: NGDP, freq: Q}

- {method: dlog_df, var: [R_SP500_NGDP], freq: Q}

- {method: spread_df, var_1: ML_A_BBB, var_2: UST 30Y, freq: Q}

- {method: var_rename, var_dict: {S_ML_A_BBB_UST 30Y: ML_A_BBB_UST30Y}, freq: Q}

Independent_Variable_Transformations:

- {method: diff_df, var: [VIX, ML_A_BBB_UST30Y], freq: Q}

Projections:

TD_BASE:

- {method: projection_func, proj_func: sp500_tdbase, var_output: DLN_R_SP500_NGDP}

HP_BASE:

- {method: projection_func, proj_func: sp500_ccar, var_output: SP500}

HP_SAV:

- {method: projection_func, proj_func: sp500_ccar, var_output: SP500}

HP_EBAB:

- { method: projection_func, proj_func: sp500_eba, var_output: SP500 }

HP_EBAS:

- { method: projection_func, proj_func: sp500_eba, var_output: SP500 }

Remaining_Sce:

- {method: projection_func, proj_func: sp500_alt_sce, var_output: DLN_R_SP500_NGDP}

Hypos:

HP_BAC:

- {flow_through: 1, method: hypo_func, proj_func: dm_sp500_dln_dec_target, freq: Q, var: [SP500],

interval: 1-6, target: -.50}

HP_D5:


 * 1)         - {method: hypo_func, proj_func: replace_model_out_with_alt_scen, var: [SP500], replace_scen: TDA_D1,


 * 1)            freq: Q, flow_through: 1}

- {flow_through: 1, method: hypo_func, proj_func: dm_sp500_dln_dec_target, freq: Q, var: [SP500],

interval: 1-6, target: -.23}

HP_CEA:

- {flow_through: 1, method: hypo_func, proj_func: dm_sp500_dln_dec_target, freq: Q, var: [SP500],

interval: 1-6, target: -.20}

HP_CESA:

- {flow_through: 1, method: hypo_func, proj_func: dm_sp500_dln_dec_target, freq: Q, var: [SP500],

interval: 1-6, target: -.50}

HP_CEPI:

- {flow_through: 1, method: hypo_func, proj_func: dm_sp500_dln_dec_target, freq: Q, var: [SP500],

interval: 1-6, target: -.35}

HP_BACDCB:

- {flow_through: 1, method: hypo_func, proj_func: dm_sp500_dln_dec_target, freq: Q, var: [SP500],

interval: 1-6, target: -.30 }

Severity_Calc:

- {method: Cum. LVL GW New, target_sces: [HP_BAC, HP_CESA, TDX_SS]}

NASDAQ:

Model_Var_Name:

- NASDAQ

Estimation_Module:

Q: ols

Projection_Module:

Q: nasdaq

Projection_Freq:

- Q

Output_Freq:

- Q

Model_Dependency:

- NGDP

- SP500

Historical_Downloads:

Q:

Actual:

- NASDAQ

- SP500

- NGDP

Train_Date:

Q: 1971-03-01

Model_Statements:

Q:

- DLN_R_NASDAQ_NGDP ~ DLN_R_SP500_NGDP - 1

Attribution_Var:

Q:

- DLN_NGDP

- DLN_SP500

Dependent_Variable_Transformations:

- {method: ratio_df, var_1: NASDAQ, var_2: NGDP, freq: Q}

- {method: ratio_df, var_1: SP500, var_2: NGDP, freq: Q}

- {method: dlog_df, var: [R_NASDAQ_NGDP, R_SP500_NGDP, NGDP, SP500], freq: Q}

Independent_Variable_Transformations:

- {method: diff_df, var: [NGDP,SP500], freq: Q}

Projections:

Remaining_Sce:

- {method: projection_func, proj_func: nasdaq_projection, var_output: DLN_R_NASDAQ_NGDP}

Severity_Calc:

- {method: Cum. LVL GW New, target_sces: [HP_BAC, HP_CESA, TDX_SS]}

VSTOXX:

Model_Var_Name:

- VSTOXX

Estimation_Module:

Q: {ecm: ecm_estimation}

Projection_Module:

Q: vstoxx

Projection_Freq:

- Q

Output_Freq:

- Q

Model_Dependency:

- VIX

Historical_Downloads:

Q:

Actual:

- VSTOXX

- VIX

Train_Date:

Q: 1999-03-01

Model_Statements:

Q:

- VSTOXX ~ VIX - 1

- D_VSTOXX ~ D_VIX + lr_resid_lag - 1

Attribution_Var:

Q:

- D_VIX

- VIX

Dependent_Variable_Transformations:

- {method: diff_df, var: [VSTOXX], freq: Q}

Independent_Variable_Transformations:

- {method: diff_df, var: [VIX], freq: Q}

Projections:

Remaining_Sce:

- {method: projection_func, proj_func: vstoxx_projection, var_output: VSTOXX}

Severity_Calc:

- {method: Cum. LVL Diff New, target_sces: [HP_BAC, HP_CESA, TDX_SS]}