Figure 1.
The heat map has the same five assets on both axes: S and P 500, Dow Jones, Nasdaq, Russell 2000, and T Bill. A scale at the right ranges approximately from 0.1 to 1. The diagonal cells for each asset are at or near 1. The four equity indices have consistently high pairwise values, generally around 0.75 to 0.95. The relationship between S and P 500 and Dow Jones is among the highest. Nasdaq also has high values with S and P 500 and Dow Jones. Russell 2000 has high values with the other equity indices. T Bill has much lower values with all four equity indices, at roughly 0.05 to 0.10.Heatmap representing the sample correlations of the de-GARCHed returns as defined in equation (3). Darker colors indicate stronger positive correlations, while lighter colors indicate weaker or negative correlations