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somebody
Lapis Lazuli | Level 10

I have a large dataset that contains daily returns for a many stocks. The dataset has 3 columns: date, stocks, and returns.
I would like to calculate the rolling correlation and covariance between stocks for the last 1 week, 4 weeks (month), and 50 weeks (year).

FYI, I am implementing a Corsi HAR model as I try to predict correlation next period using the correlation between stocks during the last 1 week, 4 weeks and 50 weeks. What would be the best approach?

Thank you very much for your help!

2 REPLIES 2
PeterClemmensen
Tourmaline | Level 20

You can use PROC TIMESERIES with the OUTCROSSCORR= option. 

 

Provide sample data for code answer 🙂

somebody
Lapis Lazuli | Level 10

please see this link for the data it is too large to upload. (76mb) since it contains daily observations for some stocks.

https://www.dropbox.com/s/wfngi8ayjj0drh2/stocks.csv?dl=0

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