关键词: 动态因子模型, EM算法, 股票收益率, 股票波动率

Abstract:

Yield rate and volatility are the most important variables in financial markets. In order to study the rate-influencing factors, the yield rate and volatility model of financial market is established based on the high-dimensional Dynamic Factor Model（DFM）. Then this paper introduces the EM algorithm with penalty to estimate sparse parameter of high-dimensional DFM. By applying this model to the stock data of the Shanghai and Shenzhen stock market, the public factors that affect on the yield rate and volatility and the sparse component matrix are obtained. According to the matrix, it is found that there is a common factor in both models which have an effect on most stocks, while others are the industry factors that only impact on a certain industry of the stocks. It is also analyzed why the the factors fluctuate by combining with the domestic relevant policies and events. In addition, the influence of common factor and industry factors are researched to the industry by using the factor contribution rate.

Key words: dynamic factor model, EM algorithm, yield rate, volatility