What is a good computer program for calculating rolling correlation.
excel’s correl() doesn’t do it for you?
That only calculates the static correlation. I want to find the rolling correlation. I believe that Correl() would work but I would need to recalculate it for everyday. I’m not that great at statistics and I have never tried to calculate this before am I wrong about that.
See if you can figure out how to use the fill down capability of excel and the correlation function to give you rolling correlation.
Wow, I can’t believe I didn’t think of that. Thank you Darien and Joey