This paper determines the factors in the factor ARCH model utilizing the method of Principal Component Analysis. Thus the unknown parameters in the model become fewer. By modelling the model using this method, we give...This paper determines the factors in the factor ARCH model utilizing the method of Principal Component Analysis. Thus the unknown parameters in the model become fewer. By modelling the model using this method, we give some empirical analysis of there representative stocks in our stock markets.展开更多
文摘This paper determines the factors in the factor ARCH model utilizing the method of Principal Component Analysis. Thus the unknown parameters in the model become fewer. By modelling the model using this method, we give some empirical analysis of there representative stocks in our stock markets.
