tri.wave class

This S4 class defines the parameters in the triangular wave model.

class

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.

Stephen Lihn

jubilee

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

tri.wave class function

<dl class="dl-horizontal">
<dt><code>call</code></dt><dd>the match.call slot.</dd></dl><dt><code>a.t</code></dt><dd>numeric, the look-back channel in years</dd><dt><code>a0</code></dt><dd>numeric, the look-back channel in years</dd><dt><code>s1</code></dt><dd>numeric, the forward return duration in years</dd><dt><code>s2</code></dt><dd>numeric, the start fraction of in-sample training period</dd><dt><code>y.mean</code></dt><dd>numeric, the end fraction of in-sample training period</dd><dt><code>y.amp</code></dt><dd>numeric, the end fraction of in-sample training period</dd><dt><code>y.t</code></dt><dd>numeric, the end fraction of in-sample training period</dd><dt><code>y.p</code></dt><dd>numeric, the end fraction of in-sample training period</dd>

tri.wave class: The triangular wave model class

Description

Arguments

Slots

References