Updated Volatility Charts

G. William Schwert

University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research

Stock volatility has been higher in recent periods, causing many people to wonder if the market is become unstable relative to historical standards. The charts below show that for most markets this is not an issue. There is some evidence that the stocks in the Nasdaq index have become more volatile, but this began in the late 1990s; it is not particularly high today compared with the last couple of years.
The following files contain charts in Acrobat's portable data format (.pdf). The files can only be viewed (and printed) using a copy of Acrobat Reader or Acrobat Exchange.

If you want the current version of the Adobe Acrobat Reader for other platforms, visit Adobe's web page by clicking the image below.

Click here to see the monthly estimates of stock volatility from the daily returns in the month, 1885-2007 in PDF format, or in gif format.

Click here to see the daily changes in the Dow Jones Industrial Average from 1928-2007 in PDF format, or in gif format.

Click here to see the daily returns to the Dow Jones Industrial Average from 1928-2007 in PDF format, or in gif format.

Click here to see the annualized standard deviation from daily returns to the Dow Jones Industrial Average from 1928--2007 in PDF format, or in gif format.

Click here to see the daily changes in the Standard & Poor's composite index from 1928-2007 in PDF format, or in gif format.

Click here to see the daily returns to the Standard & Poor's composite index from 1928-2007 in PDF format, or in gif format.

Click here to see the annualized standard deviation from daily returns to the Standard & Poor's composite index from 1928-2007 in PDF format, or in gif format.

Click here to see the annualized standard deviation for the Standard & Poor's 100 index from the Implied Volatility series from the CBOE (VIX) 1986-2007 in PDF format, or in gif format.

Click here to see the annualized standard deviation for the Nasdaq Composite index from the Implied Volatility series from the CBOE (VXN) 1986-2007 in PDF format, or in gif 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) 1986-2007 in PDF format, or in gif format.

Click here to see the annualized standard deviation from daily returns to the FTSE All Shares index from 1969-2007 in PDF format, or in gif format.

Click here to see the annualized standard deviation from daily returns in dollars to the FTSE All Shares index from 1969-2007 in PDF format, or in gif format.

Click here to see the annualized standard deviation from daily returns to the Nasdaq Composite index from 1971-2007 in PDF format, or in gif format.

Fig. 3 from 1990 FAJ paper (updated & revised from original paper)

March 26, 2000, article in The Economist on volatility.

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.

Return to Publications Page

© Copyright 1998-2008, G. William Schwert

Last Updated on 1/15/2008