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Calculating the Variance Covariance Matrix using stock daily Prices in Python, R and Excel
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Download Data from Yahoo Finance and estimate variance-covariance
We describe how to download daily Price data from Yahoo finance for 10 stocks (for a 1-year period). We install the yfinance package and load in the data seamlessly from yahoo finance. We then calculate daily returns using those same annual observations (using the python and r code explained in the portal outlined above). Finally, we estimate the variance-covariance matrix of the ten-asset portfolio. We also verify the R and Python Variance Covariance matrix estimation using a spreadsheet template suggested by Simon Benninga. Knowing that stocks have a high or low covariance can be useful in its own right. Covariance can tell how the stocks move together and the risks that arise in a portfolio context. We can determine the strength of the relationship and this is significant to those wanting to set up risk modelling.
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