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International Equities GARCH-DCC Correlation Analysis
Average Correlation for Friday, May 24th, 2019:0.6527 (0.0100)
Date Range:

from

to

Window:

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of International Equities GARCH-DCC
Correlation Summary Table

Lower Corr:

0.3197

Upper Corr:

0.8757

1st Factor:

0.6830

2nd Factor:

0.0587

  • Dataset Series
    The International Equities dataset contains the following series:
  • MSCI Asia Pacific
  • MSCI Chile
  • MSCI Europe
  • MSCI USA
  • MSCI World
  • S&P 500 Index
  • iShares MSCI Australia ETF
  • iShares MSCI Belgium Capped ETF
  • iShares MSCI Brazil Capped ETF
  • iShares MSCI Canada ETF
  • iShares MSCI EAFE ETF
  • iShares MSCI Emerging Markets ETF
  • iShares MSCI Germany ETF
  • iShares MSCI Hong Kong ETF
  • iShares MSCI Italy Capped ETF
  • iShares MSCI Japan ETF
  • iShares MSCI Mexico Capped ETF
  • iShares MSCI Netherlands ETF
  • iShares MSCI Singapore Capped ETF
  • iShares MSCI Spain Capped ETF
  • iShares MSCI Sweden Capped ETF
  • iShares MSCI Switzerland Capped ETF
  • iShares MSCI Taiwan Capped ETF
  • iShares MSCI United Kingdom ETF