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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.

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

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

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