Looking at the percent change in stock price, it become fairly easy to pick out periods of time of high volatility and we see a few points in 1987, 1989,1997,1999-2003,2008-present. By the looks of the graphs, it takes a few months until volatility subsides. Though as of today, it seems that the stock markets are up, I highly doubt that the choppiness seen in the Dow last week will be the last.
The % change in volume plot doesn't capture well changes in volume since it could simply mean that volume could have suddenly risen and remained constantly high during a crashing period. Though from the plot, we do see that volume can vary quite wildly.
Given the % change in Price plot for the Dow Jones, I had a program go through the data looking for points in time where a > 5% decrease in the index occurred and extracted 4 months of data before the crash and 6 months after the crash to get about 10 months of data. I also had the program mark points where a > 5% decrease occurred and came out with 7 plots:
US Debt Down grade Crash
The data seems to indicate that during the pre-2000 eras of crashes, volatility was far lower compared to what we are seeing in the markets now. This is probably the result of the HFT algorithms going at it in the market place. The most recent crash is showing far more volatility compared to all but the 2008 stock market crash as we have seen in a single week, some very large price movements in the Dow Jones Index. There was also a large spike in trading about a week before volatility picked up and I am not sure what this represents.
Not really sure where the volatility is headed from here, but there could be more on the way if things this time around play out in a similar way to 2008. We'll have to wait and see I guess.
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