University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research
Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2021 in PDF format.
Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2021 in PDF format. War periods indicated in red.
Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2021 in PDF format. Recession periods indicated in red.
Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2021 in PDF format. Republican presidents' terms indicated in red.
Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2021 in PDF format. Republican senate majorities' terms indicated in red.
Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2021 in PDF format. Republican house majorities' terms indicated in red.
Click here to see the monthly estimates of stock volatility from the daily returns in the month, 1885-2021 in PDF format.
Click here to see the daily levels of the Dow Jones Industrial Average from 1899-2021 in PDF format.
Click here to see the daily changes in the Dow Jones Industrial Average from 1899-2021 in PDF format.
Click here to see the daily returns to the Dow Jones Industrial Average from 1899-2021 in PDF format.
Click here to see the annualized standard deviation from daily returns to the Dow Jones Industrial Average from 1899-2019 in PDF format..
Click here to see the daily changes in the Standard & Poor's composite index from 1926-2021 in PDF format.
Click here to see the daily returns to the Standard & Poor's composite index from 1926-2021 in PDF format.
Click here to see the annualized standard deviation from daily returns to the Standard & Poor's composite index from 1926-2021 in PDF format as well as the CBOE implied volatility series (VIX) from 1986-2021.
Click here to see the annualized standard deviation from 15-minute returns to the Standard & Poor's composite index and from futures contracts on the S&P; index from 1982-2020 in PDF format.
Click here to see the annualized standard deviation for the Standard & Poor's 100 index from the Implied Volatility series from the CBOE (VXO) 1986-2021 and the annualized standard deviation for the Standard & Poor's 500 index from the Implied Volatility series from the CBOE (VIX) 1990-2021 in PDF format.
Click here to see the 3-month (VIX3M) and 6-month (VIX6M) annualized standard deviation forecast for the Standard & Poor's 500 index from the Implied Volatility series from the CBOE compared with the 1-month annualized standard deviation forecast (VIX) from 2007-2021 in PDF format.
Click here to see the volatility of the Implied Volatility series from the CBOE (VVIX) from 2007-2021 in PDF format.
Click here to see the annualized standard deviation for the Nasdaq Composite index from the Implied Volatility series from the CBOE (VXN) 1995-2021 in PDF format.
Click here to see the annualized standard deviation for the Nasdaq Composite index from the Implied Volatility series from the CBOE (VXN) relative to the annualized standard deviation for the Standard & Poor's 100 index from the Implied Volatility series from the CBOE (VIX) 1995-2021 in PDF format.
Click here to see the annualized standard deviation from daily returns to the Nasdaq Composite index from 1949-2021 in PDF format.
Click here to see the annualized standard deviation for the Nasdaq Composite index compared with the Implied Volatility series from the CBOE (VXN) 1995-2021 in PDF format.
Click here to see the level of the FTSE All Shares index from 1968-2021 and the FTSE 100 index from 1984-2021 in PDF format.
Click here to see the daily returns to the FTSE All Shares index from 1965-2021 in PDF format.
Click here to see the annualized standard deviation from daily returns to the FTSE All Shares index from 1965-2021 in PDF format.
Click here to see the annualized standard deviation from monthly returns to the FTSE All Shares index from 1695-2021 in PDF format.
Click here to see the daily level of the Nikkei 225 index from 1950-2021 and the Topix index from 1951-2021 in PDF format.
Click here to see the monthly level of the Nikkei 225 index from 1914-2021 and the Topix index from 1914-2021 in PDF format.
Click here to see the daily returns to the Nikkei 225 index from 1950-2021 and the Topix index from 1951-2021 in PDF format,
Click here to see the annualized standard deviation from daily returns to the Nikkei 225 index from 1950-2021 and the Topix index from 1951-2021 in PDF format.
Click here to see the annualized standard deviation from daily returns in dollars to the Nikkei 225 index from 1950-2021 and the Topix index from 1951-2021 in PDF format.
Click here to see the annualized standard deviation from monthly returns to the Nikkei 225 index from 1915-2021 and the Topix index from 1915-2021 in PDF format.
Click here to see the annualized standard deviation from daily returns to Datastream index of US technology stocks from 1973-2021 in PDF format.
Click here to see the annualized standard deviation from daily returns to Datastream index of finance industry stocks from 1973-2021 in PDF format.
June 12, 2000, article in Fortune on volatility.
June 12, 2000, report on volatility from the Securities Industry Association in PDF format.
January 6, 2008, article on volatility from the New York Times in PDF format.
January 6, 2008, article on volatility from the New York Times in PDF format.
November 18, 2008, article on volatility from the Times of London.
November 18, 2008, article on volatility from the Times of London in PDF format.
September 3, 2008, Power Point presentation for Incoming Simon MBA Students on stock market volatility
September 3, 2008, Power Point presentation for Incoming Simon MBA Students on stock market volatility in PDF format.
October 17, 2008, Power Point presentation for Simon Alumni Council on stock market volatility
October 17, 2008, Power Point presentation for Simon Alumni Council on stock market volatility in PDF format.
September 9, 2009, Power Point presentation for Incoming Simon MBA Students on stock market volatility
September 9, 2009, Power Point presentation for Incoming Simon MBA Students on stock market volatility in PDF format. <
October 21, 2009, Power Point presentation for Financial Management Association Keynote Speech on stock market volatility [Reno, NV]
October 21, 2009, Power Point presentation for Financial Management Association Keynote Speech on stock market volatility in PDF format. [Reno, NV]
June 25, 2010, Power Point presentation for European Financial Management Association Keynote Speech on stock market volatility [Aarhus, Denmark]
June 25, 2010, Power Point presentation for European Financial Management Association Keynote Speech on stock market volatility in PDF format. [Aarhus, Denmark]
July 18, 2011, Power Point presentation for New York MBA students on stock market volatility
July 18, 2011, Power Point presentation for New York MBA students on stock market volatility in PDF format
September 23, 2011, Power Point presentation for Laser Lab employees on stock market volatility
September 23, 2011, Power Point presentation for Laser Lab employees on stock market volatility in PDF format
October 28, 2011, Power Point presentation for Rivers Run on stock market volatility
October 28, 2011, Power Point presentation for Rivers Run on stock market volatility in PDF format
October 3, 2016, Power Point presentation for Simon Spotlight on stock market volatility in PDF format
July 21, 2017 Jason Zweig column in The Wall Street Journal on volatility.
Septermber 21, 2018 Jason Zweig column in The Wall Street Journal on seasonality.
August 29, 2020 Jason Zweig column in The Wall Street Journal on booms and busts.
August 12, 2021 Jason Zweig column on volatility.
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Last Updated on 1/6/2022