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US Equity Market Capitalizations GARCH-DCC Correlation Analysis
Average Correlation for Friday, May 24th, 2019:0.9475 (0.0000)
Date Range:

from

to

Window:

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of US Equity Market Capitalizations GARCH-DCC
Correlation Summary Table

Lower Corr:

0.9198

Upper Corr:

0.9702

1st Factor:

0.9650

2nd Factor:

0.0273

  • Dataset Series
    The US Equity Market Capitalizations dataset contains the following series:
  • Russell 2000 Index
  • Russell Midcap Index
  • S&P 500 Index