We have studied the X-ray variability patterns and correlations of the radio and X-ray fluxes in all spectral states of Cyg X-1 using X-ray data from RXTE/ASM, CGRO/BATSE, and Swift/BAT. In the hard state, the dominant spectral variability is a changing of normalisation with fixed spectral shape, while in the intermediate state the slope changes, with a pivot point around 10 keV. In the soft state, the low energy X-ray emission dominates the bolometric flux which is only loosely correlated with the high energy emission. In black hole binaries in the hard state, the radio flux is generally found to depend on a power of the X-ray flux, F_R ~ F_X^p. We confirm this for Cyg X-1. Our new finding is that this correlation extends to the intermediate and soft states provided the broad-band X-ray flux in the Comptonization part of the spectrum (excluding the blackbody component) is considered instead of a narrow-band medium-energy X-ray flux. We find an index p=1.7+-0.1 for 15 GHz radio emission, decreasing to p=1.5+-0. at 2.25 GHz. We conclude that the higher value at 15 GHz is due to the effect of free-free absorption in the wind from the companion. The intrinsic correlation index remains uncertain. However, based on a theoretical model of the wind in Cyg X-1, it appears to be close to 1.3, which, in the framework of accretion/jet models, implies that the accretion flow in Cyg X-1 is radiatively efficient. The correlation with the flux due to Comptonization emission indicates that the radio jet is launched by the hot electrons in the accretion flow in all spectral states of Cyg X-1. On the other hand, we rule out the X-ray jet model. Finally, we find that the index of the correlation, when measured using the X-ray flux in a narrow energy band, strongly depends on the band chosen and is, in general, different from that for either the bolometric flux or the flux in the hot-electron emission.