The Increasing Volatility of the Stock Market?
This study provides a rigorous examination of historical stock price volatility. We measure changes in the variability of equity returns on a daily and monthly basis and test whether volatility has changed over the period 1926 through 2014.
Johnson, Robert; Washer, Kenneth M.; and Jorgensen, Randy, "The Increasing Volatility of the Stock Market?" (2016). Faculty Publications. 491.