S&P 500
Why Use This Data Source In Your Models?
The S&P 500 represents the stock market's performance by reporting the risks and returns of the biggest companies. It is used as the benchmark of the overall US stock market, to which all other investments are compared.
S&P 500
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Automated Data Profiling
Suggested Treatment:
Grain Transformation:
Source:
S&P Dow Jones Indices LLC
Release:
S&P
Units:
Daily Index, Not Seasonally Adjusted
Frequency:
Daily, at close
Available Through:
05/09/2025
Suggested Treatment:
The data shows auto correlation and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Arcsin variable will also perform well.
Grain Transformation:
Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.
Auto Correlation Analysis:
Data shows auto correlation indicating a need for differencing
The ACF indicates 1 order differencing is appropriate.
Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.11
Trend Analysis:
The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 3.01 p-value = 0.01 indicates that the data is not stationary.
Distribution Analysis:
The Shapiro-Wilk test returned W = 0.93 with a p-value =0.00 indicating the data does not follow a normal distribution.
A skewness score of 0.66 indicates the data are moderately skewed.
Hartigan's dip test score of 0.02 with a p-value of 0.00 inidcates the data is multimodal
Statistics (Pearson P/ df, lower => more normal)
Auto Correlation Function
Auto Correlation Function After Differencing
Partial Auto Correlation Function
Seasonal Impact
Seasonal and Trend Decompostion
Citation:
S&P Dow Jones Indices LLC, S&P 500 [SP500], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/SP500, December 15, 2019.