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 end
Best,
Irene
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