Figure 3. Dynamic Conditional Correlation between SPDR and iShares returns
1.00
0.75
0.50
0.25
0.00
-0.25
1.00
0.75
0.50
0.25
0.00
-0.25
UK
1996 1997 1998 1999 2000 2001 2002 2003 2004
Canada
1996 1997 1998 1999 2000 2001 2002 2003 2004
Notes. The figure shows conditional correlation coefficients between between SPDR and respective iShares,
extracted from the DCC-GARCH(1,1) specification of the DCC-GARCH model of Engle (2002), with t-distributed
errors. see section 5.3. for the details of the model.
32
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