How to estimate market risk using only publicly available data? 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.

Thank you.    

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?
This paper on Fluctuations in Uncertainty may be helpful and relevant. 


  The  volatility  of  the  stock  market  or  GDP  is  often  used  as  a  measure  of  uncertainty  because  when  a  data  series  becomes  more  volatile  it is  harder  to  forecast.


Computing the variance or standard deviation of the growth rate of a variable is quite a common procedure to get volatility figures.



The above figure shows the VIX index of 30-day implied volatility on the Standard &amp; Poor's 500 stock market index. The  VIX  index  is  traded  on  the  Chicago Board Options Exchange. It is constructed based on the values of a range of  call  and  put  options  on  the  Standard  &amp;  Poor's  500  index  and  represents  the  market's  expectation  of  volatility  over  the  next  30  day.

Other  common  measures  of  uncertainty  include  forecaster disagreement, mentions of "uncertainty" in news,  and the dispersion of productivity shocks  to  firms. Check Bloom's web page and his Economic Policy Uncertainty Index