Unrecognized function or variable 'movcorr'

Hello :-)

I would like to estimate a 5-year rolling correlation, so I use an 1260window (for 5-year trading days)

B is an matrix (k,m) and C is a vector (1,m)

I would like to get an (k,m) vector of the correlations, but if I code

testcor=zeros(k,m);
for i=1:k
    testcor(i,m)=movcorr(B(i,:), C(1,:), 1260);
end

I get: Undefined function 'movcorr' for input arguments of type 'double'.

If I code:

movcorr(B(1,:), C(1,:), 1260);

I get: Unrecognized function or variable 'movcorr'.

What can I do?

Thank you in advance!

Answer 1

[Star Strider]

Download movcorr from the File Exchange.

Put it somewhere in your MATLAB user path. Do not put it anywhere else. See What Is the MATLAB Search Path? for details, if you are not already acquainted with it.