Thursday, October 16, 2008

great depression (1929-1931) and 1987 crashes were more scary


the last 2 weeks had been extremely stressful, but did it not feel a lot worst in 1987?
for those for lived through the great depression when the dow plunged 89% from 1929 to 1931, were the last 10 days rather tame?

while the vix, or what the press would like to call the "fear index" did not exist back in the 20's, one can calculated based on closing dow prices the actual volatility over any number of days.

below is a table of the highest actual 10 day volatility on record, since 1896.

this shows that 1987 was indeed the most volatile and perhaps the scariest october ever.

 
paul
 
 
 

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