Here is the distribution of the VIX index for nearly 19 years, through March 2009. This time was when the market troughed. Additionally, this distribution since that date is also shown.
A maximum likelihood estimator was used to better understand the statistical partition between the pre-crisis time period through January 2011. It shows that if a statistical separation occurred during this period, then it was in early 1996. And even then, this second part of the pre-crisis implied volatility had a central value measuring 21% (still close to the post-crisis average of 20%). Versus the first part of this pre-crisis period with a central value measuring 15%.
Here is the distribution of the VIX index for nearly 21 years, through January 2011. This time was when the implied volatility measure significantly fell from the elevated levels seen during the financial crisis. Additionally, this distribution since that date is also shown.
A maximum likelihood estimator was used to better understand the statistical partition between the pre-crisis time period through January 2011. It shows that if a statistical separation occurred during this period, then it was in early 1996. And even then, this second part of the pre-crisis implied volatility had a central value measuring 21% (still close to the post-crisis average of 20%). Versus the first part of this pre-crisis period with a central value measuring 15%.
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