Financial Time Series Analysis by Using MATLAB

Abstract

This report contains two parts. For part A, performing a Principle Components Analysis (PCA) and analyzing the drivers. Then, carrying out factor analyses and comparing them. For part B, employing 5 different quantitative models to forecast and generate moving origin horizon one forecasts of both return and volatility. Then, figuring out the optimal weights for the portfolio and assigning the optimal portfolio. Finally, comparing the returns and risk measure from all portfolio and models.