We assume you mean parts (1 and 2) of the question pertaining to the CRSP index volatility. We're interested in index returns so you may use the CRSP-provided returns (i.e., DO NOT calculate the returns yourself). Since the EW indexes are hard to find in the real world, you should use VW (i.e., VWRETD or VWRETX; the dividends should not affect the volatility calculations very much).
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