Correlation

Last updated 9 November 2026

Function reference › Risk and Performance Measures › Correlation

1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].

GIA_RPM_Correlation

Returns the historical correlation during a specified period, given historical daily prices of two assets.

GIA_RPM_Correlation(HDates1, HRates1, HDates2, HRates2, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, StartDate, EndDate, ExcludeFromDate, ExcludeToDate, [MismatchedDatesMethod])

Returns: Historical correlation during a specified period

Argument	Use	Description
`HDates1`	Required	The array of dates of historical prices of the asset 1.
`HRates1`	Required	The array of historical prices of the asset 1.
`HDates2`	Required	The array of dates of historical prices of the asset 2.
`HRates2`	Required	The array of historical prices of the asset 2.
`TimeInterval`	Required	Time period of the price changes (Days, Week, Month, Quarter, Year)
`Overlap`	Required	Whether there is an overlap between dates (Yes, No)
`DaysNumber`	Required	Number of days if the parameter TimeInterval is Days
`WeekLastDay`	Required	The last day of the week if the parameter TimeInterval is Week (Sunday, Monday, Tuesday, Wednesday, Thursday, Friday)
`PriceChangeCalc`	Required	Calculation type of the price change (Discrete, Continuous, Absolute). See the documentation for full description.
`StartDate`	Required	The first date in the required period.
`EndDate`	Required	The last date in the required period.
`ExcludeFromDate`	Required	The first date in the period excluded from the required period.
`ExcludeToDate`	Required	The last date in the period excluded from the required period.
`MismatchedDatesMethod`	Optional, default Discard	The method of resolving arrays with mismatched dates (Discard, Fill).