Yes, we want more recent data to have more weight. Events that happened on the far past have less bearing with might happen in the near future. We apply 2 different weighting schemes: one for the volatilities of the securities and one for the correlation.
Volatilities have shorter memory: in 2 months, the importance of the information is half of today’s.
Correlations have longer memory: in 6 months the importance of the information is half.