Moving window to create rolling covariance matrix

Hey guys,

I'am quite new to Matlab and am currently trying to create a rolling covariance matrix.

I got 260 return series and want to create covariance matrices for 10 return series at a time. In the end I want so create one variable with the cov.matrices plotted below each other.

I could to this by hand by writing:

kov_test=cov(returns_sec(1:10,:));
kov_test2=cov(returns_sec(11:21,:));

And copy all kov_test variables in one file.

But since I'am trying to learn to program I would like to know how to apply a for-loop for this problem. The number of return series (260) is stored under the name N_ret.

Thank you!

[Mudambi Srivatsa]

I understand that you want to compute the covariance matrices for the 10 return series at a time in a total of 260. You can do so using the following code snippet

N_ret = 260; 
cols = size(return_secs, 2); 

sliceLen = 10; 
numSlices = N_ret / sliceLen; 
startArr = 1:sliceLen:N_ret; 

% preallocate multidimensional output
kov_tests = zeros(sliceLen,cols,numSlices); 

counter = 1;
for i = startArr 
    kov_tests(:,:,counter) = cov(return_secs(i: i+9, :));
    counter = counter + 1;    
end

You can use "plot" function to plot each of the covariance matrices as follows:

plot(kov_tests(:,:,1) % first covariance matrix

For more information on the programming constructs used, refer to the following documentation links:

http://www.mathworks.com/help/matlab/ref/for.html

http://www.mathworks.com/help/matlab/math/multidimensional-arrays.html

To save the variables to a file, refer to the data import and export section link given below.

https://www.mathworks.com/help/matlab/functionlist.html#data-import-and-export

To save variables to a mat file, refer to the following link:

https://www.mathworks.com/help/matlab/ref/save.html