PCA rolling variance of PC 1

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PCA rolling variance of PC 1

Postby md108 » Wed Mar 07, 2018 5:11 am

hello team trust you are well.
If you have time can you please assist me with the following - something I have been battling with for weeks and I only realized now that I could get help via this forum - Rolling PCA and extracting variance explained by 1st PC (time series)
I have attached the workfile,program and a excel spread.

The workfile has the data (time series) of following - ZAR , VIX and EM
Program code is rolling PCA - please can you see what I am doing wrong.
CHART that I am trying to REPLICATE i.e. EMFX returns variance explained by 1st PC.

I will really really appreciate your help - going forward then I will know how to do this without any mistakes.

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emfx vs vol_pca.prg
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emfx vs vol.wf1
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