How can I calculate market risk for the US Stock Market (NYSE or NASDAQ) using only freely accessible data? I'm only interested in the market risk of the whole economy not of different industries, companies or sub-sectors.
Somebody suggested to me to download market index data and construct the volatility as a measure of market risk. But I can't find a proper explanation how I do this.
p.s. Is the following procedure correct?:
I get data US Stock market (for example https://fred.stlouisfed.org/series/SP500) calculate the growth rate and in the last step I compute the variance of the growth rate to get the market risk?