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.

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

Downloads:

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_0.2.4.tgz, r-oldrel: jubilee_0.2.5.tgz
Old sources: jubilee archive

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