Correlation across quantiles

[Nour88]

Hi,
I need to estimate correlation between 2 variables across top quantiles of volatility (FXV)... I want to show how correlation is related to volatility's level..
in the example shown below, the correlation coefficients for the 8 top volatility quantiles are significantly higher than the correlation coefficient for the entire sample.
I need to apply this example..
Could you plz help me? I will appreciate it a lot.
Thanks in advance.