Question

I’m new here. 🙂 I tried searching first, but couldn’t find exactly what I’m looking for, so here goes.

I have a set consisting of a column of dates and T daily returns for N assets in my excel worksheet. What I want to do is to create a N*N covariance matrix for the beginning of each month based on the returns of all the assets for the past x days.

I have this code here for creating a covariance matrix, but I don’t know how to make excel/vba create several of them automatically for the beginning of each month. Awesome if any of you can help me. 🙂

Function VarCovar(Rng As range) As Variant
Dim i As Integer
Dim j As Integer
Dim numcols As Integer

numcols = Rng.Columns.Count
Dim matrix() As Double
ReDim matrix(numcols - 1, numcols - 1)
For i = 1 To numcols
    For j = 1 To numcols
        matrix(i - 1, j - 1) = Application.WorksheetFunction.Covar(Rng.Columns(i), Rng.Columns(j))
    Next j
Next i

VarCovar = matrix

End Function

Answer 1

Try this:

Sub VarCovar(rng as Range, target as Range)

    Dim i As Integer
    Dim j As Integer
    Dim numcols As Integer

    numcols = Rng.Columns.Count
    Dim matrix() As Variant
    ReDim matrix(1 to numcols, 1 to numcols)
    For i = 1 To numcols
        For j = 1 To numcols
            matrix(i, j) = Application.WorksheetFunction.Covar(Rng.Columns(i), Rng.Columns(j))
        Next j
    Next i

    Set target = target.Resize(numcols,numcols)
    target.Value = matrix
End Sub

Now when you want this to be done, call the function with a reference range for your data (as before) and a reference range to the target location where the covar is shown.