Variance-Covariance Matrix / Pearson Correlation Coefficient Matrix in VBA

Building a Variance-Covariance Matrix and a Pearson Correlation Coefficient Matrix in VBA

  • Building a Variance-Covariance / Pearson Correlation Coefficient matrix in Excel can be cumbersome using formulas, the purpose of this model is to produce those matrices via VBA ;
  • Users having Bloomberg can easely update time-series by specifying the ticker, other data sources can obviously be used by overriding series; as long as  the format is respected ;
  • Please read the methodology in the spreadsheet before running the tool.

Download
Pearson Correlation Matrix.xlsm.zip
Compressed Archive in ZIP Format 4.7 MB