A daily index of 33 market variables covering credit spreads, equity valuations, safe-asset demand, funding and volatility. Zero is average stress since 2000; readings above zero mean markets are pricing more stress than usual.
Threshold source: OFR: zero is average stress over the sample; positive values are above-average stress. The five-day persistence is a worldstat.us construction. How thresholds are chosen
Market-based, so it measures how markets feel rather than how the economy is, and it spikes on single days of volatility, so the threshold needs five days above zero.