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Hello
I am working on a number of price series (daily returns) and need to calculate the 90 day standard deviations and correlation with another price series. I have written this code with a for loop to calculate the standard deviation
window = 90;
T = size(Aseries,1);
condstdAseries = zeros(T-window+1,1);
for t = 1:1:T-window+1;
condstdAseries(t,1) = std(Aseries(t:t+window-1,1));
end
datecondste = ddatenumbers(window:end);
But have not managed to work out a similar solution, guess it should be a matter only to add another line of code to solve it but no success so far.
Any suggestion?

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Andrei Bobrov
Andrei Bobrov 2017-7-13
编辑：Andrei Bobrov 2017-7-13

0 个投票

Use function movstd if you have MATLAB R2016a or later.
rst = movstd(Aseries(:,1),[0 window]);
condstdAseries = rst(1:end - window + 1);

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Thank you Andrei. This makes the calculation of the moving standard deviation definately easier but any idea on how to calculate the moving correlation?

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