Question

Covariance matrix I want to make a covariance matrix with the following variables: AGG, VAW, IWN,...

Covariance matrix

I want to make a covariance matrix with the following variables: AGG, VAW, IWN, SPY, EWG and EWW.

I found the covariance of the variables in r with this code:

cov(wr[ ,c("AGG","VAW","IWN","SPY","EWG","EWW")])

Here's the result:

              AGG           VAW           IWN           SPY
 
AGG  3.571068e-05 -4.260068e-05 -2.587826e-05 -3.239567e-05
 
VAW -4.260068e-05  1.301973e-03  9.838237e-04  7.927169e-04
 
IWN -2.587826e-05  9.838237e-04  1.024990e-03  7.221941e-04
 
SPY -3.239567e-05  7.927169e-04  7.221941e-04  6.143463e-04
 
EWG -5.084499e-05  1.109888e-03  9.502014e-04  8.046398e-04
 
EWW -3.710732e-05  1.184849e-03  1.010141e-03  8.152602e-04
 
              EWG           EWW
 
AGG -5.084499e-05 -3.710732e-05
 
VAW  1.109888e-03  1.184849e-03
 
IWN  9.502014e-04  1.010141e-03
 
SPY  8.046398e-04  8.152602e-04
 
EWG  1.444157e-03  1.179610e-03
 
EWW  1.179610e-03  1.659257e-03

How do I make a covariance matrix of the result?

Thanks in advance.

Math   Statistics-And-Probability   
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Answer #1

No need to worry the computed matrix is itself a covariance matrix but the output is slightly confusing as the variables are not in need order. I have typed the output in a simple manner so you can understand. The highlighted part are the variables corresponding to that are the values of the variance and covariance. Hope this helps.

AGG VAW IWN SPY EWG   EWW
AGG 3.571068e-05 -4.260068e-05 -2.587826e-05 -3.239567e-05 -5.084499e-05 -3.710732e-05
VAW -4.260068e-05 1.301973e-03 9.838237e-04 7.927169e-04 1.109888e-03 1.184849e-03
IWN -2.587826e-05 9.838237e-04 1.024990e-03 7.221941e-04 9.502014e-04 1.010141e-03
SPY -3.239567e-05 7.927169e-04 7.221941e-04 6.143463e-04 8.046398e-04 8.152602e-04
EWG -5.084499e-05 1.109888e-03 9.502014e-04 8.046398e-04 1.444157e-03 1.179610e-03
EWW -3.710732e-05 1.184849e-03 1.010141e-03 8.152602e-04 1.179610e-03 1.659257e-03

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