V-Lab LogoV-Lab
Equity Indices GARCH-DCC Correlation Analysis
Average Correlation for Monday, May 20th, 2019:0.3503 (0.0200)
Date Range:

from

to

Window:

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Equity Indices GARCH-DCC
Correlation Summary Table

Lower Corr:

0.0532

Upper Corr:

0.7335

1st Factor:

0.4249

2nd Factor:

0.1289

  • Dataset Series
    The Equity Indices dataset contains the following series:
  • Budapest Stock Exchange Budapest Stock Index
  • CAC 40 Index
  • Deutsche Boerse AG German Stock Index DAX
  • Dow Jones South Africa Index
  • FTSE 100 Index
  • FTSE MIB Index
  • Ibovespa Brasil Sao Paulo Stock Exchange Index
  • Karachi Stock Exchange KSE100 Index
  • Korea Stock Exchange KOSPI Index
  • Nikkei 225
  • S&P 500 Index
  • S&P BSE SENSEX Index
  • S&P/ASX 200
  • Warsaw Stock Exchange WIG Total Return Index