PCA in financial time series

[fan]

Hi Tom,

I am trying to apply PCA to the time series data I have. I am not familiar with the procedures in Rats. Particularly, I would like to how to save and plot the factors. Is there any good example I can read? Thanks

[TomDoan]

See Tsay examples TSAYP485.RPF, TSAYP493.RPF and TSAYP500.RPF.

[fan]

See Tsay examples TSAYP485.RPF, TSAYP493.RPF and TSAYP500.RPF.

Thanks for the examples. One question in my mind now is that how I can obtain the factor returns in example TSAYP485.RPF.

[TomDoan]

The factors are computed from the raw data using the columns of the eigenvectors so you would have to save those (VECTORS option) and build the factors. The @PRINCOMP procedure is designed more for going from data to data rather than analyzing just the covariance or correlation matrix.