Realized Covariance of Major USD Pairs

Daily bias-adjusted realized covariance across seven major USD pairs, from 5-minute and 1-minute log returns (Zhang, Mykland & Aït-Sahalia, 2005). Matrix shading reflects each cell's percentile within its own history, not the raw value — so it reads as unusual for that pair, not simply high or low in absolute terms. Click one or more cells to compare their history. The third view collapses the whole matrix into one number per day, the normalized determinant det(RC_t)^1/7 — the geometric mean of its eigenvalues, a single scalar for overall market variability and co-movement across all seven pairs at once.