90 days correlation for loop

Hello

I am working on a number of price series (daily returns) and need to calculate the 90 day standard deviations and correlation with another price series. I have written this code with a for loop to calculate the standard deviation

window = 90;
T = size(Aseries,1);
condstdAseries = zeros(T-window+1,1);
for t = 1:1:T-window+1;
    condstdAseries(t,1) = std(Aseries(t:t+window-1,1));
end
datecondste = ddatenumbers(window:end);

But have not managed to work out a similar solution, guess it should be a matter only to add another line of code to solve it but no success so far.

Any suggestion?

Answer 1

[Andrei Bobrov]

Use function movstd if you have MATLAB R2016a or later.

rst = movstd(Aseries(:,1),[0 window]);
condstdAseries = rst(1:end - window + 1);

[Salvatore Miserendino]

Thank you Andrei. This makes the calculation of the moving standard deviation definately easier but any idea on how to calculate the moving correlation?