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jubilee: Forecasting Long-Term Growth of the U.S. Stock Market and Business Cycles

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 forecasts 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. This model also 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. In addition, it contains a module for business cycles, optimal interest rate, and recession forecasts.

Version: 0.3.3
Depends: R (≥ 3.5.0)
Imports: stats, yaml, utils, xts, zoo, splines, parallel, graphics, methods, readxl (≥ 1.3.1), data.table, dplyr
Suggests: knitr, tinytex, R.rsp, testthat, roxygen2, scales, shape
Published: 2020-01-24
DOI: 10.32614/CRAN.package.jubilee
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 https://ssrn.com/abstract=3422278 https://ssrn.com/abstract=3435667
NeedsCompilation: no
Materials: NEWS
CRAN checks: jubilee results

Documentation:

Reference manual: jubilee.pdf
Vignettes: Jubilee: Forecasting Long-Term Growth of S&P 500 Index
Real-time Recession Probability with Hidden Markov Model and Unemployment Momentum

Downloads:

Package source: jubilee_0.3.3.tar.gz
Windows binaries: r-devel: jubilee_0.3.3.zip, r-release: jubilee_0.3.3.zip, r-oldrel: jubilee_0.3.3.zip
macOS binaries: r-release (arm64): jubilee_0.3.3.tgz, r-oldrel (arm64): jubilee_0.3.3.tgz, r-release (x86_64): jubilee_0.3.3.tgz, r-oldrel (x86_64): jubilee_0.3.3.tgz
Old sources: jubilee archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.