# [R-SIG-Finance] Rolling Correlation Matrixes

tonyp petrovaa at gmail.com
Sun Jun 19 21:39:56 CEST 2011

```Hi,

I am fairly new to R and I was hoping some of the great geniuses could help
me with my problem. Basically, I have 5 time series of daily data. Let's
say:

####
x1=rnorm(200, 0,1)
x2=rnorm(200, 10, 2)
x3=rnorm(200, 1,5)
x4=rnorm(200, 2,1)
x5=rnorm(200, 9,2)
x=cbind(x1,x2,x3,x4,x5)
rt=zoo(x, as.Date("2004-01-01") + 0:199)

and I want to calculate weekly rolling matrices (pairwise) correlations (not
average pairwise correlations). And I am looking to output the very last
(window) correlation a.k.a. the last period correlation matrix. So I did
this:

pw <- rollapply(rt, width = 5, FUN = function(x)
y <- cor(x), by.column = FALSE, align='right')
p=tail(pw,1)

I get really messy output. Something like this:

2004-07-18 1 0.5276424 -0.05103385

2004-07-18 -0.0783848 0.1752491 0.5276424 1

2004-07-18 -0.4639914 0.4708166 0.1443911

2004-07-18 -0.05103385 -0.4639914 1

2004-07-18 -0.8756658 0.3756958 -0.0783848

2004-07-18 0.4708166 -0.8756658 1

2004-07-18 0.01812455 0.1752491 0.1443911

2004-07-18 0.3756958 0.01812455 1

Can you help me with that please? In addition, if I want to calculate the
current percentile of each pair of this last period with respect to its
rolling correlation distribution how can I do that? I was reading that
rank() may do the job but I am not sure. Thank you. :)

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```