import pandas.io.data as web
import datetime as dt
import pandas as pd
end_date = dt.datetime.now().date()
start_date = end_date - pd.DateOffset(years=5)
symbols = ['AAPL', 'IBM', 'GM']
prices = web.get_data_yahoo(symbols=symbols, start=start_date, end=end_date)[
    'Adj Close']
returns = prices.pct_change()
rolling_corr = pd.rolling_corr_pairwise(returns, window=20)
Rolling Mean of Rolling Correlation dataframe в Python?