This chart shows the weekly realized covariance matrix of S&P 500 stocks. The vertical axis displays the normalized determinant \(\det(\mathbf{R}_t)^{1/p}\), where \(\mathbf{R}_t\) is the weekly realized covariance matrix and \(p\) is the number of assets. This metric represents the geometric mean of the eigenvalues of the covariance matrix, providing a measure of the overall market variability and its dependence structure.
The VIX index measures market participants' expectations of 30-day forward-looking volatility derived from S&P 500 index options.
Both series are plotted on mean-aligned axes: the VIX right axis is rescaled so that both series share the same overall average, making co-movement and divergence directly comparable.
This chart shows the average realized volatility across S&P 500 stocks for each week. The volatility is computed as the mean of the square roots of the diagonal elements of the weekly realized covariance matrix, representing the average stock-level volatility.
This chart displays the average pairwise correlation between S&P 500 stocks for each week. Higher values indicate stronger co-movement across the market, which often occurs during periods of market stress or heightened uncertainty.