Updated Volatility Charts

G. William Schwert

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, 1802-2016 in PDF format, or in gif format.

Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2016 in PDF format, or in gif format. War periods indicated in red.

Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2016 in PDF format, or in gif format. Recession periods indicated in red.

Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2016 in PDF format, or in gif format. Republican presidents' terms indicated in red.

Click here to see the annual estimates of stock volatility from the monthly returns in the year, 1802-2016 in PDF format, or in gif 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, 1802-2016 in PDF format, or in gif 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, 1885-2016 in PDF format, or in gif format.

Click here to see the daily levels of the Dow Jones Industrial Average from 1899-2016 in PDF format, or in gif format.

Click here to see the daily changes in the Dow Jones Industrial Average from 1899-2016 in PDF format, or in gif format.

Click here to see the daily returns to the Dow Jones Industrial Average from 1898-2016 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 1899-2016 in PDF format, or in gif format.

Click here to see the daily changes in the Standard & Poor's composite index from 1928-2016 in PDF format, or in gif format.

Click here to see the daily returns to the Standard & Poor's composite index from 1928-2016 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 1928-2016 in PDF format, or in gif format.

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 1982-2016 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 (VXO) 1986-2016 and the annualized standard deviation for the Standard & Poor's 500 index from the Implied Volatility series from the CBOE (VIX) 1990-2016 in PDF format, or in gif format.

Click here to see the 3-month annualized standard deviation forecast for the Standard & Poor's 500 index from the Implied Volatility series from the CBOE (VXV) compared with the 1-month annualized standard deviation forecast (VIX) from 2007-2016 in PDF format, or in gif format.

Click here to see the forward structure of annualized standard deviation forecasts for the Standard & Poor's 500 index from longer term options at various dates from 2008-2012 in PDF format, or in gif format.

Click here to see the longest term futures price for the VIX index from 2004-2012 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) 1995-2016 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) 1995-2016 in PDF format, or in gif format.

Click here to see the annualized standard deviation from daily returns to the Nasdaq Composite index from 1971-2016 in PDF format, or in gif format.

Click here to see the annualized standard deviation for the Nasdaq Composite index compared with the Implied Volatility series from the CBOE (VXN) 1995-2016 in PDF format, or in gif format.

Click here to see the level of the FTSE All Shares index from 1968-2016 and the FTSE 100 index from 1984-2016 in PDF format, or in gif format.

Click here to see the daily returns to the FTSE All Shares index from 1968-2016 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 1968-2016 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 1968-2016 and the FTSE 100 index from 1984-2016 in PDF format, or in gif format.

Click here to see the annualized standard deviation from monthly returns to the FTSE All Shares index from 1802-2016 in PDF format, or in gif format.

Click here to see the daily level of the Nikkei 225 index from 1950-2016 and the Topix index from 1951-2016 in PDF format, or in gif format.

Click here to see the monthly level of the Nikkei 225 index from 1914-2016 and the Topix index from 1914-2016 in PDF format, or in gif format.

Click here to see the daily returns to the Nikkei 225 index from 1950-2016 and the Topix index from 1951-2016 in PDF format, or in gif format.

Click here to see the annualized standard deviation from daily returns to the Nikkei 225 index from 1950-2016 and the Topix index from 1951-2016 in PDF format, or in gif format.

Click here to see the annualized standard deviation from daily returns in dollars to the Nikkei 225 index from 1950-2016 and the Topix index from 1951-2016 in PDF format, or in gif format.

Click here to see the annualized standard deviation from monthly returns to the Nikkei 225 index from 1915-2016 and the Topix index from 1915-2016 in PDF format, or in gif format.

Click here to see the annualized standard deviation from daily returns to Datastream index of US technology stocks from 1973-2016 in PDF format, or in gif format.

Click here to see the annualized standard deviation from daily returns to several indexes of finance industry stocks from 1973-2016 in PDF format, or in gif format.

 


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.

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


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© Copyright 1998-2016, G. William Schwert

Last Updated on 9/26/2016