Let $O(n)$ be the group of orthogonal $n \times n$ matrices. Apparently this is a "compact classical group" but I have trouble seeing that it is compact. The topology is the topology is inherits from $\mathbb{R}^{n^2}$ but doesn't this mean the space has to be bounded in order for it to be compact? I feel as if there are orthogonal matrices with entries that can be arbitrarily large. Am I wrong?
Book I am using: Homotopical Topology by Fuchs pg 20.