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Asset Classes GARCH-DCC Correlation Analysis
Average Correlation for Friday, May 24th, 2019:0.0368 (-0.0100)
Date Range:

from

to

Window:

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Asset Classes GARCH-DCC
Correlation Summary Table

Lower Corr:

-0.7029

Upper Corr:

0.8665

1st Factor:

0.4640

2nd Factor:

0.1781

  • Dataset Series
    The Asset Classes dataset contains the following series:
  • Barclays US Agg. Credit BAA
  • Barclays US Agg. Government
  • CBOE Volatility Index
  • Deutsche Bank Currency Returns Index
  • Gold Spot
  • Russell 2000 Index
  • S&P 500 Index
  • United States Dollar Index
  • iShares Cohen & Steers REIT ETF
  • iShares Global Energy ETF
  • iShares MSCI EAFE ETF
  • iShares MSCI Emerging Markets ETF