I have a time series for a security list with 2 parameters calculated for each time period. For example, for a stock XYZ, I have Param1 and Param2 calculated over various time periods stacked against each other. I calculate the correlation between the two parametric series for each time period.
I see sudden drop in correlation for a certain time period, which I am not able to explain. The correlation drops from 0.5 to 0.02 for the same securities over consecutive time periods.
Can someone help me analyze what is causing the drop in correlation at the parametric level ? What changes/ differences should I look at to explain this change ?