This chart shows the weekly realized covariance matrix of S&P 500 stocks. The vertical axis displays \(\frac{1}{p}\log\det(\mathbf{R}_t)\), where \(\mathbf{R}_t\) is the realized covariance matrix (RC) and \(p\) is the number of assets. This normalized log-determinant provides a measure of the overall market variability and dependence structure.
The VIX index measures market participants' expectations of 30-day forward-looking volatility derived from S&P 500 index options.