I have daily data for two market indices, SPX500 and FTSEMIB, across a time period that goes from 2006 to 2008.
I would like to plot the correlation coefficients between the two indices across this time period. I have tried running a loop in order to have the correlation between the indices at each time t, but I am not sure of the syntax I need to use.
Ideally, I would like to have a new variable containing the correlation between the two at each time t. I hope my explanation was clear.
Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(FTSEMIB SPX500 t)
19460 890.64 1
19313.5 880.03 2
19256.334 874.4067 3
19177 868.07 4
19349 874.2233 5
19487.334 881.5967 6
19530.666 892.5267 7
19403.334 900.96 8
19236.666 895.39 9
19177.334 887.16 10
19303 873.9633 11
19560.666 884.1866 12
19709.334 887.1667 13
19588 899.2033 14
18967.334 891.48 15
18731 876.9966 16
18669.334 864.01 17
19047.334 854.9233 18
18989 845.2534 19
19274.334 853.7534 20
19540.666 866.71 21
19888 880.4366 22
19859.334 865.6266 23
19403.334 836.41 24
19185.334 801.4267 25
19064 786.35 26
19592.666 806.0467 27
19911.666 838.8167 28
20343.666 861.0533 29
20442 878.4434 30
20490.666 878.96 31
20450 887.5133 32
21004.334 890.1533 33
21565.666 916.3834 34
21865 918.36 35
22092 929.5467 36
22485 954.4667 37
22490.666 974.94 38
22027 980.2667 39
21253 963.0467 40
20867 950.9767 41
19954 941.5634 42
19395.334 906.5067 43
19199.666 888.7333 44
20010.666 877.9333 45
20677.666 893.8867 46
21342.334 919.98 47
21716 945.7433 48
21900 960.3333 49
21513.666 957.46 50
21526.666 931.6067 51
22135.334 950.76 52
22778 969.7333 53
22140.666 966.86 54
21607.334 937.4966 55
21486.666 931.36 56
22591 963.6967 57
23226 1012.6866 58
24436.334 1050.7833 59
24981.666 1090.1333 60
25616.666 1124.86 61
25489.666 1147.2367 62
25671.334 1144.6067 63
26162.334 1161.92 64
26843.334 1176.1934 65
27218.666 1202.6866 66
27189.666 1194.4233 67
27144.666 1193.7267 68
27460.666 1216.7966 69
26993 1222.8966 70
26487 1205.9967 71
26057.666 1192.1666 72
26614 1187.56 73
27431.334 1219.33 74
27882.334 1231.15 75
28126 1244.2633 76
28089.666 1235.2 77
28252 1241.4467 78
28086.334 1244.87 79
28076.334 1248.9767 80
28287 1251.3733 81
28834 1263.13 82
29019.334 1278.4634 83
28874 1287.03 84
28457.334 1288.39 85
28186.666 1284.6167 86
27945 1273.3367 87
27989 1276.85 88
27916 1278.92 89
27998.666 1281.4867 90
28054.334 1272.9833 91
28424 1273.2766 92
28634 1279.4066 93
28801 1285.7866 94
28972 1289.45 95
29231.666 1293.58 96
29342 1297.0767 97
29266.666 1289.2367 98
29085.666 1283.86 99
28973.666 1280.0466 100
endBest,
Irene
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