Choosing Long-Span Data to Illustrate Volatility Regimes

Summary

The document asks which market series can illustrate alternating high- and low-volatility regimes for a regime-switching model. The questioner considers oil, equity indexes, and individual stocks, but observes that a steadily rising stock series with relatively small swings may not make regime changes easy to see. The central practical point in the replies is that a broad equity index can serve as an example if the sample spans many years, allowing different market environments to appear in the data.

A second reply recommends the VIX as a direct example of changing volatility. These are brief suggestions rather than a dataset comparison or modeling tutorial: no source, sampling frequency, return transformation, estimation method, or regime labels are supplied. The replies therefore help identify candidate series, but researchers still need to choose a suitable historical window and decide whether to model realized returns or an implied-volatility measure, since those represent different quantities.

Key ideas

• A long historical sample can make volatility regimes in a broad equity index easier to observe.
• The VIX is suggested as a series that directly reflects changing implied volatility.
• A single steadily rising stock may not provide a clear visual example of distinct regimes.
• The replies identify candidate data series but do not specify data sources or modeling steps.

Tags

# Regime switching model getting data


# Regime switching model getting data












I am trying to find a dataset (oil prices, S&P index, DAX returns etc.) in order to visualize the high volatility and low volatility periods in a plot. So far, I have not found a dataset that has this trend.

For example, the price of a Apple stock has so far only increased with small swings and cannot be modeled as regime specific variable.

Is there anyone who could advise which economic data should I download to plot it and see how the regimes switch from time to time.

## Answer by Kiwiakos (score 0, accepted)

https://quant.stackexchange.com/a/25547

Spx is perfect for that. But for regime switching you need samples that span many years.

## Answer by horseless (score 1)

https://quant.stackexchange.com/a/25545

I think the VIX index is a good example of what you are looking for.

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