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Equity Sectors GARCH-DCC Correlation Analysis
Average Correlation for Friday, May 24th, 2019:0.5475 (-0.0100)
Date Range:

from

to

Window:

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Equity Sectors GARCH-DCC
Correlation Summary Table

Lower Corr:

-0.0318

Upper Corr:

0.8934

1st Factor:

0.6463

2nd Factor:

0.1329

  • Dataset Series
    The Equity Sectors dataset contains the following series:
  • Consumer Discretionary Select Sector SPDR Fund
  • Consumer Staples Select Sector SPDR Fund
  • Energy Select Sector SPDR Fund
  • Financial Select Sector SPDR Fund
  • Health Care Select Sector SPDR Fund
  • Industrial Select Sector SPDR Fund
  • Materials Select Sector SPDR Fund
  • S&P 500 Index
  • Technology Select Sector SPDR Fund
  • Utilities Select Sector SPDR Fund