MOVING CORRELATIONs AND PLOT in a TIME SERIES FORMAT

Hi there, I need to construct a function that is able to plot moving correlations among each pairs in a subplot format (e.g. in case of 3 assets I want 3*3 matrix and each plot contain the time series of moving correlation with a specified window)

To be cleared I provide you my code at the moment, I am struggling with the plot part, if you believe there's an efficient way to code the first part of the function let me know:

% Moving correlation
% 
% INPUT:
%   - dataMatrix(r*c)
%   - windowSize N
%   - display matrix graph (1=graph, 0= no graph)
% 
% OUTPUT:
%   - correlationTV(r-N*c)
% 
% e.g. 3 series: 1 with 2 and 2 with 3 and then 1 with 3
% e.g. 4 series: 1 with 2 and 2 with 3 and 3 with 4 and then 
% 
dataMatrix=rand(100,4);
windowSize=30;
graph=0
% function correlationTV = movingCorrelation(dataMatrix, windowSize, graph)

%% Dimension

[r,c] = size(dataMatrix);

% %% Some arg checking % % if nargin==1 % default: no garch effect & no multi start solver & no graph % windowSize=size(dataMatrix,1); % graph=0; % else % nargin==2 % graph=0; % end % % if windowSize>r && windowSize<2 % error('windowSize must smaller than number of raws and at least equal to 2'); % end % % if graph~=0 && graph~=1 % error('Insert 0 or 1 for graph'); % end

%% Prealocation

correlationTV = cell(r,1);

for i=1:r correlationTV{i,1}=nan(c,c); end

%% Code

count=windowSize;

for t = windowSize+1:r correlationTV{count,1} = corrcoef(dataMatrix(t-windowSize:t, :)); count=count+1; end

if graph==1 for i=1:c for j=1:c for l=windowSize:r end subplot(c,c,

    subplot(i,j);
    for i=windowSize:r
    subplot

Thanks Marco

Answer 1

[Samantha Cruz]

https://www.mathworks.com/matlabcentral/fileexchange/65342-movcorr-x-y-k-varargin-compute-windowed-correlation-coefficient