question about cross-correlation
Posted: Mon Feb 07, 2011 8:35 am
I read a figure of cross-correlation of two series in one article ( the Figure is attached).
When we generate cross-correlation using Eviews, the results are shown like below:
Date: 02/07/11 Time: 16:01
Sample: 1/02/1990 12/31/2010
Included observations: 5291
Correlations are asymptotically consistent approximations
RETURN,VIX(-i) RETURN,VIX(+i) i lag lead
*| | *| | 0 -0.1214 -0.1214
| | *| | 1 0.0217 -0.1085
| | *| | 2 0.0135 -0.0926
| | *| | 3 -0.0008 -0.0904
| | *| | 4 0.0053 -0.0801
| | *| | 5 0.0017 -0.0792
I want to know how to make attached Figure based on information such as above?
Thanks for your help!!
When we generate cross-correlation using Eviews, the results are shown like below:
Date: 02/07/11 Time: 16:01
Sample: 1/02/1990 12/31/2010
Included observations: 5291
Correlations are asymptotically consistent approximations
RETURN,VIX(-i) RETURN,VIX(+i) i lag lead
*| | *| | 0 -0.1214 -0.1214
| | *| | 1 0.0217 -0.1085
| | *| | 2 0.0135 -0.0926
| | *| | 3 -0.0008 -0.0904
| | *| | 4 0.0053 -0.0801
| | *| | 5 0.0017 -0.0792
I want to know how to make attached Figure based on information such as above?
Thanks for your help!!