The Nobel Memorial Prize for Robert F. Engle

Figure 1
Factor Loadings

Notes to Figure 1: We plot the factor loadings in the three-factor model,

JT            ₁        λtr

1ee ^t ₁ 1ee ^t
where the three factors are β₁₁, β₂₁, and β₃₁, the associated loadings are 1, --------, and---------e

and τ denotes maturity. We fix λ_t = 0.0609.                              ∖^τ          ^t^τ

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