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Finance and Economics Discussion Series: Data for paper 001126

What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?

Zeynep Senyuz, Marcelle Chauvet, and Emre Yoldas

Figure 1 Data: Logarithms of Realized Volatility Measures and NBER dated Recessions

Date RV_M RV_B RV_IND NBER
1971-09 1.072 0.895 0.622 0
1971-10 1.262 1.017 0.917 0
1971-11 1.786 0.737 1.084 0
1971-12 1.400 0.122 1.178 0
1972-01 1.019 0.243 1.088 0
1972-02 0.606 -0.100 0.828 0
1972-03 0.963 -0.274 1.007 0
1972-04 1.041 0.533 0.883 0
1972-05 1.311 -0.310 0.989 0
1972-06 0.985 -0.704 0.877 0
1972-07 1.069 0.058 0.957 0
1972-08 1.198 -0.086 1.288 0
1972-09 1.069 0.029 0.829 0
1972-10 1.255 -0.393 1.058 0
1972-11 0.937 -0.314 1.112 0
1972-12 1.043 -0.502 0.780 0
1973-01 1.071 -0.277 1.175 0
1973-02 1.500 0.021 1.119 0
1973-03 1.616 0.124 1.142 0
1973-04 1.704 0.054 1.120 0
1973-05 2.048 -0.468 1.219 0
1973-06 1.487 0.219 1.116 0
1973-07 1.709 0.742 1.357 0
1973-08 1.388 0.605 1.016 0
1973-09 1.376 0.390 1.491 0
1973-10 1.252 -0.123 1.329 0
1973-11 2.017 0.474 1.487 0
1973-12 2.166 0.797 1.551 1
1974-01 1.916 -0.170 1.756 1
1974-02 1.710 -0.395 1.120 1
1974-03 1.651 0.644 1.184 1
1974-04 1.724 0.533 1.013 1
1974-05 1.542 1.038 1.319 1
1974-06 1.873 0.666 1.116 1
1974-07 2.122 1.450 1.508 1
1974-08 2.082 1.234 1.453 1
1974-09 2.393 0.518 1.657 1
1974-10 2.517 0.802 1.772 1
1974-11 2.003 -0.206 1.347 1
1974-12 1.996 0.974 1.347 1
1975-01 2.015 0.377 1.743 1
1975-02 1.624 0.142 1.299 1
1975-03 1.711 -0.027 1.334 1
1975-04 1.671 1.118 1.344 1
1975-05 1.544 0.660 1.298 0
1975-06 1.500 0.376 1.090 0
1975-07 1.561 -0.449 1.089 0
1975-08 1.832 0.536 1.060 0
1975-09 1.734 0.183 1.200 0
1975-10 1.586 0.466 1.156 0
1975-11 1.263 0.067 1.045 0
1975-12 1.580 0.411 0.906 0
1976-01 1.647 0.404 1.234 0
1976-02 1.475 -0.103 1.145 0
1976-03 1.254 0.300 1.071 0
1976-04 1.406 0.070 0.868 0
1976-05 1.224 0.284 0.922 0
1976-06 1.315 -0.239 0.876 0
1976-07 0.854 -0.046 0.800 0
1976-08 1.071 -0.309 0.696 0
1976-09 1.130 0.169 0.659 0
1976-10 1.173 -0.010 0.882 0
1976-11 1.148 0.678 0.992 0
1976-12 1.084 0.443 0.849 0
1977-01 0.951 0.930 0.917 0
1977-02 0.602 0.694 0.780 0
1977-03 0.992 -0.013 0.849 0
1977-04 1.333 0.198 0.945 0
1977-05 1.114 -0.043 0.582 0
1977-06 0.747 0.246 0.638 0
1977-07 1.100 -0.054 0.868 0
1977-08 0.520 -0.012 0.888 0
1977-09 0.960 -0.083 0.516 0
1977-10 1.189 -0.042 0.766 0
1977-11 1.567 -0.205 0.695 0
1977-12 1.133 0.014 0.574 0
1978-01 1.429 0.371 0.728 0
1978-02 1.037 -0.348 0.575 0
1978-03 0.904 -0.083 0.706 0
1978-04 1.507 -0.156 0.913 0
1978-05 1.263 0.021 0.950 0
1978-06 1.394 0.080 0.867 0
1978-07 1.150 0.108 0.787 0
1978-08 1.265 0.742 0.772 0
1978-09 1.468 -0.216 0.909 0
1978-10 1.984 0.653 1.117 0
1978-11 1.686 1.069 0.917 0
1978-12 1.496 0.411 0.961 0
1979-01 1.307 0.293 0.876 0
1979-02 1.121 0.572 0.559 0
1979-03 0.885 -0.112 0.817 0
1979-04 0.801 -0.057 0.790 0
1979-05 1.273 0.423 0.802 0
1979-06 1.054 0.751 0.978 0
1979-07 1.183 0.144 0.887 0
1979-08 0.947 0.275 1.005 0
1979-09 1.344 0.691 1.170 0
1979-10 2.028 1.784 1.170 0
1979-11 1.546 1.416 1.186 0
1979-12 0.803 1.092 0.942 0
1980-01 1.416 1.384 1.487 0
1980-02 1.227 2.321 1.586 1
1980-03 2.172 1.917 1.554 1
1980-04 1.752 1.992 1.393 1
1980-05 1.475 1.859 1.317 1
1980-06 1.370 1.579 1.168 1
1980-07 1.420 1.543 1.346 1
1980-08 1.605 1.624 1.042 1
1980-09 1.796 1.716 1.365 0
1980-10 1.409 1.834 1.343 0
1980-11 1.746 1.926 1.460 0
1980-12 1.937 2.281 1.620 0
1981-01 1.638 1.734 1.468 0
1981-02 1.415 1.773 1.013 0
1981-03 1.055 1.756 1.451 0
1981-04 1.225 1.851 1.545 0
1981-05 1.133 1.938 1.302 0
1981-06 0.838 1.546 1.471 0
1981-07 1.412 1.694 1.160 0
1981-08 1.697 1.870 1.138 1
1981-09 1.885 2.051 1.214 1
1981-10 1.537 1.885 1.200 1
1981-11 1.420 2.116 1.123 1
1981-12 1.077 1.864 0.841 1
1982-01 1.788 1.827 1.241 1
1982-02 1.332 1.784 1.106 1
1982-03 1.568 1.441 1.501 1
1982-04 1.400 1.284 1.095 1
1982-05 1.318 1.388 1.031 1
1982-06 1.397 1.576 1.217 1
1982-07 1.373 1.643 1.369 1
1982-08 2.201 2.034 1.386 1
1982-09 1.431 1.584 1.140 1
1982-10 2.109 1.972 1.650 1
1982-11 2.000 1.320 1.333 1
1982-12 1.555 1.335 1.578 1
1983-01 1.632 0.963 1.653 0
1983-02 1.390 1.150 1.319 0
1983-03 1.272 0.877 1.406 0
1983-04 1.260 0.787 1.227 0
1983-05 1.381 1.082 1.265 0
1983-06 1.555 0.947 1.275 0
1983-07 1.626 1.422 1.063 0
1983-08 1.073 1.464 1.241 0
1983-09 1.296 1.235 0.970 0
1983-10 1.359 1.206 1.247 0
1983-11 0.918 0.640 1.205 0
1983-12 0.788 0.584 0.986 0
1984-01 1.269 0.572 1.276 0
1984-02 1.516 0.530 1.135 0
1984-03 1.270 0.783 1.224 0
1984-04 0.876 1.011 0.926 0
1984-05 1.362 1.455 0.998 0
1984-06 1.445 1.597 1.180 0
1984-07 1.227 1.644 1.199 0
1984-08 1.970 1.123 1.183 0
1984-09 1.044 1.314 0.916 0
1984-10 1.250 1.351 1.276 0
1984-11 1.121 1.369 0.849 0
1984-12 1.095 1.186 0.902 0
1985-01 1.462 1.333 1.145 0
1985-02 0.802 1.216 0.878 0
1985-03 0.856 1.128 0.993 0
1985-04 0.897 1.052 0.910 0
1985-05 1.270 1.469 1.105 0
1985-06 0.784 1.672 0.961 0
1985-07 0.950 1.285 1.235 0
1985-08 0.962 1.014 0.610 0
1985-09 1.188 1.126 0.938 0
1985-10 1.107 0.950 0.998 0
1985-11 1.132 0.970 0.781 0
1985-12 1.325 1.147 1.203 0
1986-01 1.404 1.212 1.087 0
1986-02 1.166 1.425 1.234 0
1986-03 1.150 1.484 1.165 0
1986-04 1.643 1.369 1.209 0
1986-05 1.333 1.448 1.067 0
1986-06 1.163 1.665 0.962 0
1986-07 1.767 1.248 1.275 0
1986-08 1.256 1.158 1.198 0
1986-09 1.998 1.508 1.327 0
1986-10 1.050 1.157 1.049 0
1986-11 1.513 0.757 0.908 0
1986-12 1.100 0.729 0.820 0
1987-01 1.762 0.742 1.128 0
1987-02 1.307 0.632 1.289 0
1987-03 1.481 0.900 1.105 0
1987-04 1.819 1.518 1.296 0
1987-05 1.698 1.562 1.179 0
1987-06 1.024 1.391 1.029 0
1987-07 1.074 0.778 1.057 0
1987-08 1.476 1.158 1.220 0
1987-09 1.612 1.346 1.054 0
1987-10 3.279 2.212 2.044 0
1987-11 2.031 1.020 1.329 0
1987-12 2.024 1.391 1.434 0
1988-01 2.086 1.359 1.249 0
1988-02 1.429 0.929 1.137 0
1988-03 1.423 1.106 1.024 0
1988-04 1.769 1.013 0.848 0
1988-05 1.379 0.788 0.877 0
1988-06 1.062 1.560 0.904 0
1988-07 1.167 1.082 0.699 0
1988-08 1.264 1.060 0.759 0
1988-09 0.641 1.227 0.903 0
1988-10 1.053 0.780 1.067 0
1988-11 1.205 0.794 0.595 0
1988-12 0.796 0.987 0.759 0
1989-01 1.002 0.731 0.724 0
1989-02 1.091 0.946 0.535 0
1989-03 1.172 0.922 0.877 0
1989-04 0.659 0.869 0.793 0
1989-05 1.127 1.307 0.806 0
1989-06 1.329 1.127 1.081 0
1989-07 1.126 0.643 0.986 0
1989-08 1.099 1.083 1.012 0
1989-09 0.791 0.505 1.033 0
1989-10 1.766 0.606 1.122 0
1989-11 0.792 0.484 1.021 0
1989-12 1.307 0.587 1.215 0
1990-01 1.572 0.892 1.144 0
1990-02 1.072 1.156 0.926 0
1990-03 0.909 0.884 0.998 0
1990-04 1.179 0.674 0.964 0
1990-05 1.383 1.116 0.908 0
1990-06 1.330 0.841 1.041 0
1990-07 1.337 0.675 1.285 0
1990-08 2.285 1.516 1.703 1
1990-09 1.190 0.648 1.372 1
1990-10 2.048 1.170 1.570 1
1990-11 1.672 0.931 1.280 1
1990-12 0.940 1.207 1.290 1
1991-01 1.965 1.314 1.557 1
1991-02 1.404 0.528 1.474 1
1991-03 1.266 0.701 1.355 1
1991-04 1.394 0.823 1.166 1
1991-05 1.295 0.709 1.222 0
1991-06 1.072 0.458 0.966 0
1991-07 1.231 0.547 1.105 0
1991-08 1.568 0.856 1.091 0
1991-09 0.603 0.509 0.867 0
1991-10 1.439 1.055 1.183 0
1991-11 1.350 0.630 1.035 0
1991-12 1.786 0.936 1.389 0
1992-01 0.607 1.039 1.679 0
1992-02 0.856 0.826 1.277 0
1992-03 0.972 0.906 0.998 0
1992-04 1.546 0.706 1.443 0
1992-05 0.777 0.786 1.047 0
1992-06 1.141 0.328 1.232 0
1992-07 1.166 1.042 1.155 0
1992-08 0.951 0.922 1.018 0
1992-09 0.769 0.967 1.163 0
1992-10 1.049 1.071 1.153 0
1992-11 0.766 0.738 1.173 0
1992-12 0.886 0.354 1.116 0
1993-01 0.810 0.655 1.378 0
1993-02 1.520 1.003 1.602 0
1993-03 0.893 1.024 1.196 0
1993-04 1.237 0.749 1.628 0
1993-05 1.105 0.599 1.127 0
1993-06 0.884 0.545 1.282 0
1993-07 0.793 0.554 1.169 0
1993-08 0.538 0.802 1.277 0
1993-09 0.902 0.919 1.136 0
1993-10 0.796 0.793 1.340 0
1993-11 1.123 0.990 1.310 0
1993-12 0.612 0.683 0.991 0
1994-01 0.808 0.998 1.211 0
1994-02 0.968 0.953 0.959 0
1994-03 1.451 1.186 1.168 0
1994-04 0.657 1.702 1.456 0
1994-05 1.095 1.535 1.214 0
1994-06 1.009 1.219 1.123 0
1994-07 0.759 1.261 0.903 0
1994-08 0.761 1.071 1.056 0
1994-09 1.029 0.959 0.908 0
1994-10 1.401 0.809 0.986 0
1994-11 1.218 1.036 1.124 0
1994-12 0.981 0.881 1.016 0
1995-01 0.753 0.954 1.270 0
1995-02 0.909 0.906 0.857 0
1995-03 0.806 1.022 1.129 0
1995-04 0.579 0.185 1.034 0
1995-05 1.139 1.160 1.296 0
1995-06 1.017 1.330 1.260 0
1995-07 1.217 1.046 1.434 0
1995-08 0.164 0.912 1.240 0
1995-09 0.877 0.890 1.255 0
1995-10 1.102 0.634 1.439 0
1995-11 0.997 0.641 1.367 0
1995-12 0.714 0.680 1.321 0
1996-01 1.351 0.885 1.534 0
1996-02 1.371 1.028 1.237 0
1996-03 1.006 1.360 1.524 0
1996-04 1.279 1.157 1.309 0
1996-05 1.309 1.022 1.034 0
1996-06 0.848 0.903 1.109 0
1996-07 1.874 1.251 1.545 0
1996-08 1.312 1.053 1.127 0
1996-09 1.107 0.783 1.026 0
1996-10 0.884 0.907 1.135 0
1996-11 1.212 1.153 1.039 0
1996-12 1.473 1.065 1.344 0
1997-01 1.308 0.952 1.264 0
1997-02 1.417 0.798 1.266 0
1997-03 1.642 0.682 1.442 0
1997-04 1.738 0.837 1.462 0
1997-05 1.548 0.663 1.197 0
1997-06 1.210 0.597 1.154 0
1997-07 1.512 0.802 1.410 0
1997-08 1.442 1.147 1.179 0
1997-09 1.393 0.944 1.146 0
1997-10 1.830 1.003 1.343 0
1997-11 1.638 0.179 1.217 0
1997-12 1.710 0.600 1.486 0
1998-01 1.736 1.061 1.366 0
1998-02 1.128 0.732 1.093 0
1998-03 0.770 0.655 1.367 0
1998-04 1.598 0.886 1.529 0
1998-05 1.201 0.507 1.243 0
1998-06 1.571 0.605 1.351 0
1998-07 1.305 0.175 1.373 0
1998-08 2.480 0.590 1.721 0
1998-09 2.051 0.959 1.726 0
1998-10 2.179 1.547 2.141 0
1998-11 1.572 0.988 1.413 0
1998-12 1.469 0.997 1.582 0
1999-01 1.749 0.827 1.778 0
1999-02 1.452 1.091 1.645 0
1999-03 1.640 0.803 1.618 0
1999-04 1.863 1.055 2.227 0
1999-05 1.128 1.088 1.650 0
1999-06 1.839 1.081 1.685 0
1999-07 1.507 0.874 1.444 0
1999-08 1.706 1.114 1.654 0
1999-09 1.353 1.079 1.394 0
1999-10 2.068 0.977 1.904 0
1999-11 1.188 0.611 1.809 0
1999-12 1.362 0.830 1.914 0
2000-01 2.009 1.036 2.135 0
2000-02 1.406 1.050 2.052 0
2000-03 2.220 0.752 2.395 0
2000-04 2.285 1.066 2.429 0
2000-05 2.110 1.120 2.062 0
2000-06 1.575 0.660 2.124 0
2000-07 1.621 0.867 2.114 0
2000-08 1.346 0.530 1.862 0
2000-09 1.229 0.428 2.129 0
2000-10 2.190 0.430 2.322 0
2000-11 1.975 0.578 2.206 0
2000-12 2.231 0.679 2.307 0
2001-01 1.468 1.323 2.385 0
2001-02 1.805 0.833 2.196 0
2001-03 2.048 0.944 2.211 0
2001-04 2.259 1.224 2.326 1
2001-05 1.635 1.042 1.846 1
2001-06 1.570 0.707 1.820 1
2001-07 1.726 0.670 1.769 1
2001-08 1.415 0.780 1.594 1
2001-09 2.346 1.142 2.091 1
2001-10 1.943 0.846 1.977 1
2001-11 1.558 1.514 1.681 1
2001-12 1.635 1.439 1.642 1
2002-01 1.265 1.119 1.735 0
2002-02 1.702 0.797 1.619 0
2002-03 1.555 1.059 1.650 0
2002-04 1.210 0.647 1.666 0
2002-05 1.818 0.969 1.739 0
2002-06 1.808 1.058 1.684 0
2002-07 2.655 1.211 2.114 0
2002-08 2.311 1.337 1.734 0
2002-09 1.960 1.124 1.444 0
2002-10 2.126 1.312 1.810 0
2002-11 1.872 1.440 1.703 0
2002-12 1.193 0.800 1.371 0
2003-01 1.816 1.275 1.511 0
2003-02 1.429 0.731 1.189 0
2003-03 1.826 1.101 1.444 0
2003-04 1.647 0.763 1.403 0
2003-05 1.599 0.985 1.326 0
2003-06 1.375 1.187 1.230 0
2003-07 1.096 1.330 1.288 0
2003-08 1.173 1.397 1.219 0
2003-09 1.240 1.339 1.258 0
2003-10 1.367 1.273 1.140 0
2003-11 1.205 1.020 1.213 0
2003-12 0.958 0.999 1.132 0
2004-01 0.922 1.145 1.260 0
2004-02 0.980 0.548 1.073 0
2004-03 1.550 1.050 1.098 0
2004-04 1.427 1.215 1.386 0
2004-05 1.400 0.955 1.128 0
2004-06 0.873 1.044 0.991 0
2004-07 0.933 0.931 1.223 0
2004-08 1.492 0.820 1.137 0
2004-09 0.584 0.842 1.172 0
2004-10 1.420 0.740 1.326 0
2004-11 1.276 0.807 1.046 0
2004-12 1.027 0.918 1.050 0
2005-01 1.233 0.387 1.031 0
2005-02 1.006 0.707 1.053 0
2005-03 0.949 0.947 1.047 0
2005-04 0.733 0.692 1.300 0
2005-05 1.069 0.563 1.048 0
2005-06 0.986 0.878 0.926 0
2005-07 0.858 0.870 1.037 0
2005-08 0.735 0.801 1.043 0
2005-09 1.038 0.621 1.016 0
2005-10 1.409 0.585 1.358 0
2005-11 1.105 0.763 1.177 0
2005-12 0.853 0.705 0.765 0
2006-01 1.097 0.445 1.192 0
2006-02 0.612 0.283 1.011 0
2006-03 0.819 0.725 1.109 0
2006-04 0.947 0.560 1.180 0
2006-05 1.412 0.621 1.216 0
2006-06 1.698 0.670 1.312 0
2006-07 1.392 0.478 1.271 0
2006-08 1.066 0.237 1.258 0
2006-09 0.991 0.437 1.227 0
2006-10 0.812 0.530 1.114 0
2006-11 1.076 0.600 1.128 0
2006-12 0.753 0.529 0.776 0
2007-01 0.682 0.364 1.141 0
2007-02 1.322 0.665 0.871 0
2007-03 1.350 0.334 0.768 0
2007-04 0.897 0.364 0.856 0
2007-05 0.688 0.147 0.809 0
2007-06 1.184 0.955 0.842 0
2007-07 1.514 0.927 1.100 0
2007-08 1.610 0.699 1.446 0
2007-09 1.234 0.875 1.023 0
2007-10 1.263 0.797 1.256 0
2007-11 1.600 1.103 1.672 0
2007-12 1.648 1.236 1.189 1
2008-01 1.767 1.228 1.962 1
2008-02 1.867 1.388 1.468 1
2008-03 1.447 1.399 1.680 1
2008-04 1.650 1.059 1.626 1
2008-05 1.190 1.079 1.429 1
2008-06 1.518 1.153 1.584 1
2008-07 1.552 1.130 2.279 1
2008-08 1.414 0.855 1.849 1
2008-09 2.044 1.665 2.016 1
2008-10 3.133 1.620 2.331 1
2008-11 2.945 1.725 2.199 1
2008-12 2.224 1.606 2.074 1
2009-01 1.838 1.517 1.881 1
2009-02 2.217 1.605 1.964 1
2009-03 2.434 1.827 2.165 1
2009-04 2.137 1.279 1.908 1
2009-05 1.480 1.427 1.640 1
2009-06 1.828 1.563 1.489 1
2009-07 1.944 1.466 1.477 1
2009-08 1.620 1.252 1.299 0
2009-09 1.677 1.023 1.251 0

Figure 2: Common Linear Realized Volatility Factor and NBER Recessions

Date Factor NBER
1971-09 5.1939208 0
1971-10 7.274818 0
1971-11 8.9883693 0
1971-12 9.5758792 0
1972-01 9.2030081 0
1972-02 7.660415 0
1972-03 7.9671058 0
1972-04 7.8624299 0
1972-05 8.2328605 0
1972-06 7.6126441 0
1972-07 7.9139754 0
1972-08 9.3705563 0
1972-09 8.1150124 0
1972-10 8.5390595 0
1972-11 8.6907078 0
1972-12 7.5141551 0
1973-01 8.6366257 0
1973-02 9.2628568 0
1973-03 9.7105721 0
1973-04 9.8561762 0
1973-05 10.434938 0
1973-06 10.002645 0
1973-07 11.044218 0
1973-08 9.8716215 0
1973-09 11.171802 0
1973-10 10.850991 0
1973-11 12.050347 0
1973-12 12.96234 1
1974-01 13.695973 1
1974-02 11.337263 1
1974-03 10.844097 1
1974-04 10.023559 1
1974-05 10.849833 1
1974-06 10.56555 1
1974-07 12.326465 1
1974-08 12.736275 1
1974-09 13.748179 1
1974-10 14.752518 1
1974-11 12.89245 1
1974-12 12.424955 1
1975-01 13.634918 1
1975-02 12.060878 1
1975-03 11.595061 1
1975-04 11.685642 1
1975-05 11.343591 0
1975-06 10.308228 0
1975-07 9.7452806 0
1975-08 9.8496826 0
1975-09 10.270132 0
1975-10 10.221415 0
1975-11 9.4381336 0
1975-12 8.9146094 0
1976-01 10.014183 0
1976-02 9.8621541 0
1976-03 9.4431927 0
1976-04 8.5604075 0
1976-05 8.3265407 0
1976-06 8.0070013 0
1976-07 7.2808293 0
1976-08 6.6993654 0
1976-09 6.4811961 0
1976-10 7.2421895 0
1976-11 8.1046614 0
1976-12 7.7957474 0
1977-01 7.9477395 0
1977-02 7.1630659 0
1977-03 7.2475202 0
1977-04 7.9574534 0
1977-05 6.6233681 0
1977-06 6.0975433 0
1977-07 6.9668518 0
1977-08 6.9581795 0
1977-09 5.8490864 0
1977-10 6.5478794 0
1977-11 6.8059077 0
1977-12 6.1637348 0
1978-01 6.8064257 0
1978-02 6.0112246 0
1978-03 6.1588596 0
1978-04 7.4522313 0
1978-05 7.9631534 0
1978-06 7.9599935 0
1978-07 7.4732138 0
1978-08 7.4595029 0
1978-09 7.9086951 0
1978-10 9.4822365 0
1978-11 9.2072035 0
1978-12 8.9703713 0
1979-01 8.3807935 0
1979-02 6.8508062 0
1979-03 6.8948041 0
1979-04 6.7571603 0
1979-05 7.2216101 0
1979-06 7.988744 0
1979-07 7.9028048 0
1979-08 8.1702615 0
1979-09 9.308961 0
1979-10 10.536197 0
1979-11 10.633475 0
1979-12 9.0962005 0
1980-01 11.110174 0
1980-02 12.365136 1
1980-03 13.363636 1
1980-04 12.842181 1
1980-05 12.101076 1
1980-06 11.088969 1
1980-07 11.402281 1
1980-08 10.519963 1
1980-09 11.574104 0
1980-10 11.641093 0
1980-11 12.397043 0
1980-12 13.537155 0
1981-01 13.050689 0
1981-02 10.950789 0
1981-03 11.522073 0
1981-04 12.26187 0
1981-05 11.572634 0
1981-06 11.628783 0
1981-07 10.931612 0
1981-08 10.82873 1
1981-09 11.264929 1
1981-10 11.079252 1
1981-11 10.673731 1
1981-12 9.1131249 1
1982-01 10.559655 1
1982-02 10.260315 1
1982-03 11.756359 1
1982-04 10.627283 1
1982-05 9.8941759 1
1982-06 10.420922 1
1982-07 11.211869 1
1982-08 12.311398 1
1982-09 11.11437 1
1982-10 13.199684 1
1982-11 12.578745 1
1982-12 12.936925 1
1983-01 13.339036 0
1983-02 12.076626 0
1983-03 11.755084 0
1983-04 10.91011 0
1983-05 10.880102 0
1983-06 11.007645 0
1983-07 10.410421 0
1983-08 10.445003 0
1983-09 9.5358701 0
1983-10 10.280601 0
1983-11 9.946192 0
1983-12 8.8630962 0
1984-01 9.9075566 0
1984-02 9.9581758 0
1984-03 10.191873 0
1984-04 8.8945967 0
1984-05 9.130135 0
1984-06 10.018572 0
1984-07 10.287565 0
1984-08 10.777228 0
1984-09 9.2887624 0
1984-10 10.242701 0
1984-11 8.8916788 0
1984-12 8.4929301 0
1985-01 9.5833136 0
1985-02 8.4606773 0
1985-03 8.4757851 0
1985-04 8.1794627 0
1985-05 9.1884268 0
1985-06 8.7138074 0
1985-07 9.6158041 0
1985-08 7.5204436 0
1985-09 8.1452523 0
1985-10 8.5215269 0
1985-11 7.862309 0
1985-12 9.4081983 0
1986-01 9.6499649 0
1986-02 10.178334 0
1986-03 10.127774 0
1986-04 10.622217 0
1986-05 10.058636 0
1986-06 9.3494446 0
1986-07 10.631875 0
1986-08 10.435497 0
1986-09 11.501997 0
1986-10 10.051553 0
1986-11 9.1955783 0
1986-12 8.1989828 0
1987-01 9.489882 0
1987-02 10.246752 0
1987-03 10.040164 0
1987-04 11.090819 0
1987-05 10.976925 0
1987-06 9.8031613 0
1987-07 9.3402534 0
1987-08 10.174821 0
1987-09 10.01726 0
1987-10 15.225893 0
1987-11 13.319551 0
1987-12 13.047104 0
1988-01 12.270754 0
1988-02 10.930834 0
1988-03 10.001874 0
1988-04 9.1988818 0
1988-05 8.6430526 0
1988-06 8.4638588 0
1988-07 7.577167 0
1988-08 7.522768 0
1988-09 7.6180441 0
1988-10 8.4969861 0
1988-11 7.1504833 0
1988-12 6.9792443 0
1989-01 6.8730692 0
1989-02 6.2269952 0
1989-03 7.3381326 0
1989-04 7.0542042 0
1989-05 7.4507752 0
1989-06 8.7733063 0
1989-07 8.6655761 0
1989-08 8.8042288 0
1989-09 8.5732833 0
1989-10 9.5881674 0
1989-11 8.8343464 0
1989-12 9.6954434 0
1990-01 10.034741 0
1990-02 9.0162682 0
1990-03 8.7016562 0
1990-04 8.6009309 0
1990-05 8.6054382 0
1990-06 9.0133061 0
1990-07 10.077049 0
1990-08 13.019118 1
1990-09 11.883812 1
1990-10 12.965651 1
1990-11 11.940942 1
1990-12 11.080216 1
1991-01 12.570033 1
1991-02 12.23163 1
1991-03 11.576462 1
1991-04 10.717854 1
1991-05 10.489315 0
1991-06 9.1855215 0
1991-07 9.3449956 0
1991-08 9.6823895 0
1991-09 8.1431241 0
1991-10 9.5052476 0
1991-11 9.3110281 0
1991-12 10.998738 0
1992-01 11.905171 0
1992-02 10.864917 0
1992-03 9.487289 0
1992-04 11.037288 0
1992-05 9.5687902 0
1992-06 9.8650926 0
1992-07 9.8714879 0
1992-08 9.1566783 0
1992-09 9.3005848 0
1992-10 9.5584264 0
1992-11 9.4439147 0
1992-12 9.1799616 0
1993-01 10.096053 0
1993-02 11.937612 0
1993-03 10.639679 0
1993-04 11.980077 0
1993-05 10.455922 0
1993-06 10.263364 0
1993-07 9.6867628 0
1993-08 9.7340336 0
1993-09 9.5168119 0
1993-10 10.105972 0
1993-11 10.518489 0
1993-12 8.9959994 0
1994-01 9.4576779 0
1994-02 8.7859022 0
1994-03 9.741909 0
1994-04 10.745376 0
1994-05 10.508132 0
1994-06 9.9251254 0
1994-07 8.6691097 0
1994-08 8.7160222 0
1994-09 8.343743 0
1994-10 8.7451938 0
1994-11 9.3476427 0
1994-12 8.9535899 0
1995-01 9.6178604 0
1995-02 8.4042673 0
1995-03 8.9142904 0
1995-04 8.3847883 0
1995-05 9.8320873 0
1995-06 10.214201 0
1995-07 11.119258 0
1995-08 9.9020605 0
1995-09 10.016915 0
1995-10 10.879449 0
1995-11 10.867697 0
1995-12 10.479294 0
1996-01 11.67374 0
1996-02 11.058142 0
1996-03 11.712236 0
1996-04 11.30877 0
1996-05 10.085202 0
1996-06 9.5104514 0
1996-07 11.813013 0
1996-08 10.652618 0
1996-09 9.5835342 0
1996-10 9.4380106 0
1996-11 9.3181353 0
1996-12 10.619619 0
1997-01 10.674646 0
1997-02 10.755319 0
1997-03 11.606088 0
1997-04 12.130367 0
1997-05 11.134421 0
1997-06 10.302946 0
1997-07 11.231988 0
1997-08 10.740482 0
1997-09 10.333526 0
1997-10 11.273688 0
1997-11 10.825149 0
1997-12 11.832377 0
1998-01 11.901852 0
1998-02 10.340986 0
1998-03 10.48425 0
1998-04 11.843709 0
1998-05 10.894798 0
1998-06 11.238334 0
1998-07 11.156349 0
1998-08 13.451316 0
1998-09 14.141274 0
1998-10 16.240899 0
1998-11 13.687609 0
1998-12 13.247834 0
1999-01 13.999017 0
1999-02 13.622785 0
1999-03 13.444939 0
1999-04 15.938918 0
1999-05 14.163585 0
1999-06 14.133481 0
1999-07 12.894301 0
1999-08 13.415733 0
1999-09 12.350384 0
1999-10 14.40536 0
1999-11 14.102083 0
1999-12 14.56547 0
2000-01 16.13812 0
2000-02 15.987975 0
2000-03 17.794688 0
2000-04 18.764536 0
2000-05 17.622314 0
2000-06 16.890683 0
2000-07 16.647482 0
2000-08 15.295945 0
2000-09 15.671581 0
2000-10 17.291224 0
2000-11 17.361276 0
2000-12 17.99428 0
2001-01 18.115783 0
2001-02 17.580296 0
2001-03 17.633388 0
2001-04 18.323211 1
2001-05 16.238508 1
2001-06 15.184639 1
2001-07 14.681383 1
2001-08 13.598717 1
2001-09 15.86928 1
2001-10 15.954819 1
2001-11 14.714576 1
2001-12 14.117675 1
2002-01 13.880192 0
2002-02 13.598886 0
2002-03 13.554037 0
2002-04 13.239173 0
2002-05 13.930211 0
2002-06 14.00614 0
2002-07 16.36897 0
2002-08 15.616027 0
2002-09 13.889176 0
2002-10 14.776382 0
2002-11 14.556803 0
2002-12 12.525859 0
2003-01 12.844547 0
2003-02 11.310882 0
2003-03 12.071017 0
2003-04 11.999924 0
2003-05 11.69004 0
2003-06 11.078255 0
2003-07 10.877722 0
2003-08 10.607155 0
2003-09 10.687402 0
2003-10 10.347085 0
2003-11 10.311931 0
2003-12 9.7929449 0
2004-01 10.084994 0
2004-02 9.3895225 0
2004-03 9.7592148 0
2004-04 10.954309 0
2004-05 10.359361 0
2004-06 9.2174719 0
2004-07 9.6731104 0
2004-08 9.9224346 0
2004-09 9.4711249 0
2004-10 10.494767 0
2004-11 9.7318852 0
2004-12 9.2823537 0
2005-01 9.0627015 0
2005-02 8.9615301 0
2005-03 8.9117121 0
2005-04 9.6385789 0
2005-05 9.1875334 0
2005-06 8.5489399 0
2005-07 8.620266 0
2005-08 8.5641708 0
2005-09 8.6270424 0
2005-10 10.2388 0
2005-11 9.9947325 0
2005-12 8.1100015 0
2006-01 9.1266166 0
2006-02 8.4263818 0
2006-03 8.7869185 0
2006-04 9.259683 0
2006-05 9.9566612 0
2006-06 10.828812 0
2006-07 10.741005 0
2006-08 10.351141 0
2006-09 10.067335 0
2006-10 9.4042849 0
2006-11 9.4152433 0
2006-12 7.8035951 0
2007-01 8.4722853 0
2007-02 8.2581716 0
2007-03 7.7252726 0
2007-04 7.5124165 0
2007-05 7.0395784 0
2007-06 7.5432422 0
2007-07 8.9772659 0
2007-08 10.894674 0
2007-09 9.7890357 0
2007-10 10.246326 0
2007-11 12.352236 0
2007-12 11.400786 1
2008-01 14.079679 1
2008-02 13.358899 1
2008-03 13.56939 1
2008-04 13.521272 1
2008-05 12.400262 1
2008-06 12.818795 1
2008-07 15.671143 1
2008-08 14.985238 1
2008-09 16.021796 1
2008-10 18.458007 1
2008-11 18.800524 1
2008-12 17.880966 1
2009-01 16.460707 1
2009-02 16.527721 1
2009-03 17.542259 1
2009-04 16.603895 1
2009-05 14.73929 1
2009-06 13.712626 1
2009-07 13.327445 1
2009-08 12.193618 0
2009-09 11.547704 0

Figure 3 Data: Common Volatility Factor Economic Factor and NBER Recessions

Date Volatility Factor Economic Factor NBER
1971-09 5.194 2.073 0
1971-10 7.275 0.578 0
1971-11 8.988 1.947 0
1971-12 9.576 2.406 0
1972-01 9.203 3.194 0
1972-02 7.660 1.819 0
1972-03 7.967 2.338 0
1972-04 7.862 1.759 0
1972-05 8.233 1.957 0
1972-06 7.613 1.518 0
1972-07 7.914 -0.874 0
1972-08 9.371 3.140 0
1972-09 8.115 1.125 0
1972-10 8.539 3.329 0
1972-11 8.691 2.516 0
1972-12 7.514 2.572 0
1973-01 8.637 2.468 0
1973-02 9.263 2.654 0
1973-03 9.711 1.197 0
1973-04 9.856 0.260 0
1973-05 10.435 0.585 0
1973-06 10.003 0.846 0
1973-07 11.044 -0.204 0
1973-08 9.872 0.955 0
1973-09 11.172 0.294 0
1973-10 10.851 2.211 0
1973-11 12.050 1.988 0
1973-12 12.962 0.223 1
1974-01 13.696 -0.534 1
1974-02 11.337 -0.122 1
1974-03 10.844 -0.703 1
1974-04 10.024 -0.374 1
1974-05 10.850 0.478 1
1974-06 10.566 -0.186 1
1974-07 12.326 -0.181 1
1974-08 12.736 -0.818 1
1974-09 13.748 -0.646 1
1974-10 14.753 -0.612 1
1974-11 12.892 -3.869 1
1974-12 12.425 -5.719 1
1975-01 13.635 -3.323 1
1975-02 12.061 -3.334 1
1975-03 11.595 -2.514 1
1975-04 11.686 -1.249 1
1975-05 11.344 1.180 0
1975-06 10.308 -0.327 0
1975-07 9.745 2.280 0
1975-08 9.850 2.980 0
1975-09 10.270 0.912 0
1975-10 10.221 2.214 0
1975-11 9.438 0.791 0
1975-12 8.915 2.219 0
1976-01 10.014 3.365 0
1976-02 9.862 1.989 0
1976-03 9.443 1.258 0
1976-04 8.560 1.355 0
1976-05 8.327 -0.016 0
1976-06 8.007 0.474 0
1976-07 7.281 1.228 0
1976-08 6.699 1.158 0
1976-09 6.481 1.185 0
1976-10 7.242 -0.176 0
1976-11 8.105 2.420 0
1976-12 7.796 1.853 0
1977-01 7.948 1.298 0
1977-02 7.163 1.819 0
1977-03 7.248 2.636 0
1977-04 7.957 1.994 0
1977-05 6.623 1.928 0
1977-06 6.098 2.038 0
1977-07 6.967 1.421 0
1977-08 6.958 0.604 0
1977-09 5.849 2.000 0
1977-10 6.548 0.862 0
1977-11 6.806 1.497 0
1977-12 6.164 0.642 0
1978-01 6.806 -0.511 0
1978-02 6.011 0.930 0
1978-03 6.159 2.497 0
1978-04 7.452 4.028 0
1978-05 7.963 1.365 0
1978-06 7.960 1.889 0
1978-07 7.473 0.438 0
1978-08 7.460 0.815 0
1978-09 7.909 0.147 0
1978-10 9.482 1.612 0
1978-11 9.207 2.080 0
1978-12 8.970 1.127 0
1979-01 8.381 -0.137 0
1979-02 6.851 0.631 0
1979-03 6.895 1.936 0
1979-04 6.757 -1.659 0
1979-05 7.222 1.391 0
1979-06 7.989 0.820 0
1979-07 7.903 -0.466 0
1979-08 8.170 -0.523 0
1979-09 9.309 -0.574 0
1979-10 10.536 0.483 0
1979-11 10.633 0.154 0
1979-12 9.096 0.209 0
1980-01 11.110 0.572 0
1980-02 12.365 0.089 1
1980-03 13.364 -0.225 1
1980-04 12.842 -2.401 1
1980-05 12.101 -4.151 1
1980-06 11.089 -2.842 1
1980-07 11.402 -1.810 1
1980-08 10.520 1.588 1
1980-09 11.574 1.291 0
1980-10 11.641 2.745 0
1980-11 12.397 2.560 0
1980-12 13.537 1.816 0
1981-01 13.051 0.647 0
1981-02 10.951 0.055 0
1981-03 11.522 0.291 0
1981-04 12.262 -0.044 0
1981-05 11.573 -0.151 0
1981-06 11.629 1.050 0
1981-07 10.932 0.760 0
1981-08 10.829 -0.069 1
1981-09 11.265 -0.565 1
1981-10 11.079 -0.914 1
1981-11 10.674 -1.652 1
1981-12 9.113 -2.050 1
1982-01 10.560 -2.454 1
1982-02 10.260 0.617 1
1982-03 11.756 -0.215 1
1982-04 10.627 -1.138 1
1982-05 9.894 0.192 1
1982-06 10.421 -1.216 1
1982-07 11.212 -1.609 1
1982-08 12.311 -0.626 1
1982-09 11.114 -0.764 1
1982-10 13.200 -1.425 1
1982-11 12.579 -0.392 1
1982-12 12.937 0.074 1
1983-01 13.339 2.019 0
1983-02 12.077 -0.186 0
1983-03 11.755 1.586 0
1983-04 10.910 2.108 0
1983-05 10.880 2.028 0
1983-06 11.008 2.508 0
1983-07 10.410 2.622 0
1983-08 10.445 -1.274 0
1983-09 9.536 6.826 0
1983-10 10.281 1.344 0
1983-11 9.946 1.781 0
1983-12 8.863 1.863 0
1984-01 9.908 2.671 0
1984-02 9.958 2.429 0
1984-03 10.192 1.042 0
1984-04 8.895 1.595 0
1984-05 9.130 1.267 0
1984-06 10.019 1.675 0
1984-07 10.288 1.067 0
1984-08 10.777 0.610 0
1984-09 9.289 0.890 0
1984-10 10.243 0.545 0
1984-11 8.892 1.076 0
1984-12 8.493 0.004 0
1985-01 9.583 0.619 0
1985-02 8.461 0.035 0
1985-03 8.476 1.289 0
1985-04 8.179 0.265 0
1985-05 9.188 0.794 0
1985-06 8.714 -0.039 0
1985-07 9.616 -0.018 0
1985-08 7.520 0.435 0
1985-09 8.145 0.741 0
1985-10 8.522 0.378 0
1985-11 7.862 0.597 0
1985-12 9.408 0.678 0
1986-01 9.650 0.632 0
1986-02 10.178 0.242 0
1986-03 10.128 0.050 0
1986-04 10.622 0.789 0
1986-05 10.059 0.339 0
1986-06 9.349 -0.729 0
1986-07 10.632 1.669 0
1986-08 10.435 0.347 0
1986-09 11.502 1.675 0
1986-10 10.052 0.575 0
1986-11 9.196 0.575 0
1986-12 8.199 1.100 0
1987-01 9.490 0.248 0
1987-02 10.247 1.223 0
1987-03 10.040 1.282 0
1987-04 11.091 1.461 0
1987-05 10.977 0.859 0
1987-06 9.803 0.674 0
1987-07 9.340 1.660 0
1987-08 10.175 0.767 0
1987-09 10.017 1.096 0
1987-10 15.226 2.539 0
1987-11 13.320 0.971 0
1987-12 13.047 1.404 0
1988-01 12.271 0.136 0
1988-02 10.931 1.959 0
1988-03 10.002 1.032 0
1988-04 9.199 0.850 0
1988-05 8.643 0.615 0
1988-06 8.464 1.310 0
1988-07 7.577 0.495 0
1988-08 7.523 0.158 0
1988-09 7.618 1.068 0
1988-10 8.497 0.844 0
1988-11 7.150 1.118 0
1988-12 6.979 1.046 0
1989-01 6.873 0.959 0
1989-02 6.227 0.475 0
1989-03 7.338 0.119 0
1989-04 7.054 0.163 0
1989-05 7.451 -0.338 0
1989-06 8.773 -0.208 0
1989-07 8.666 -0.767 0
1989-08 8.804 0.120 0
1989-09 8.573 0.962 0
1989-10 9.588 0.017 0
1989-11 8.834 0.917 0
1989-12 9.695 0.265 0
1990-01 10.035 0.996 0
1990-02 9.016 0.822 0
1990-03 8.702 0.840 0
1990-04 8.601 -0.134 0
1990-05 8.605 0.474 0
1990-06 9.013 0.026 0
1990-07 10.077 -0.213 0
1990-08 13.019 -0.689 1
1990-09 11.884 -0.099 1
1990-10 12.966 -0.862 1
1990-11 11.941 -1.111 1
1990-12 11.080 -0.814 1
1991-01 12.570 -1.173 1
1991-02 12.232 -1.696 1
1991-03 11.576 -0.781 1
1991-04 10.718 -0.460 1
1991-05 10.489 0.495 0
1991-06 9.186 1.592 0
1991-07 9.345 0.659 0
1991-08 9.682 0.704 0
1991-09 8.143 0.907 0
1991-10 9.505 0.505 0
1991-11 9.311 -0.014 0
1991-12 10.999 0.115 0
1992-01 11.905 0.180 0
1992-02 10.865 0.067 0
1992-03 9.487 0.897 0
1992-04 11.037 1.439 0
1992-05 9.569 0.973 0
1992-06 9.865 0.551 0
1992-07 9.871 0.899 0
1992-08 9.157 0.717 0
1992-09 9.301 0.212 0
1992-10 9.558 1.136 0
1992-11 9.444 0.909 0
1992-12 9.180 1.659 0
1993-01 10.096 1.174 0
1993-02 11.938 0.611 0
1993-03 10.640 -0.782 0
1993-04 11.980 1.379 0
1993-05 10.456 0.859 0
1993-06 10.263 0.427 0
1993-07 9.687 0.954 0
1993-08 9.734 0.266 0
1993-09 9.517 0.817 0
1993-10 10.106 1.145 0
1993-11 10.518 1.071 0
1993-12 8.996 1.723 0
1994-01 9.458 0.830 0
1994-02 8.786 0.428 0
1994-03 9.742 2.003 0
1994-04 10.745 1.419 0
1994-05 10.508 1.276 0
1994-06 9.925 1.236 0
1994-07 8.669 1.174 0
1994-08 8.716 1.109 0
1994-09 8.344 1.239 0
1994-10 8.745 0.811 0
1994-11 9.348 1.799 0
1994-12 8.954 1.256 0
1995-01 9.618 1.355 0
1995-02 8.404 0.529 0
1995-03 8.914 0.513 0
1995-04 8.385 0.093 0
1995-05 9.832 -0.431 0
1995-06 10.214 0.978 0
1995-07 11.119 -0.027 0
1995-08 9.902 1.375 0
1995-09 10.017 1.201 0
1995-10 10.879 0.495 0
1995-11 10.868 0.614 0
1995-12 10.479 0.666 0
1996-01 11.674 -0.324 0
1996-02 11.058 2.166 0
1996-03 11.712 1.020 0
1996-04 11.309 0.753 0
1996-05 10.085 1.607 0
1996-06 9.510 1.372 0
1996-07 11.813 0.891 0
1996-08 10.653 0.845 0
1996-09 9.584 1.032 0
1996-10 9.438 0.982 0
1996-11 9.318 1.333 0
1996-12 10.620 0.731 0
1997-01 10.675 1.533 0
1997-02 10.755 2.214 0
1997-03 11.606 2.027 0
1997-04 12.130 1.371 0
1997-05 11.134 1.122 0
1997-06 10.303 1.201 0
1997-07 11.232 1.425 0
1997-08 10.740 0.467 0
1997-09 10.334 2.698 0
1997-10 11.274 1.585 0
1997-11 10.825 1.543 0
1997-12 11.832 1.343 0
1998-01 11.902 1.192 0
1998-02 10.341 0.945 0
1998-03 10.484 0.749 0
1998-04 11.844 1.243 0
1998-05 10.895 1.658 0
1998-06 11.238 0.452 0
1998-07 11.156 -0.150 0
1998-08 13.451 1.590 0
1998-09 14.141 0.916 0
1998-10 16.241 0.944 0
1998-11 13.688 1.155 0
1998-12 13.248 1.256 0
1999-01 13.999 0.325 0
1999-02 13.623 1.656 0
1999-03 13.445 0.284 0
1999-04 15.939 1.192 0
1999-05 14.164 0.766 0
1999-06 14.133 0.855 0
1999-07 12.894 0.965 0
1999-08 13.416 0.715 0
1999-09 12.350 0.502 0
1999-10 14.405 1.654 0
1999-11 14.102 1.269 0
1999-12 14.565 1.409 0
2000-01 16.138 1.185 0
2000-02 15.988 0.474 0
2000-03 17.795 1.773 0
2000-04 18.765 1.069 0
2000-05 17.622 0.628 0
2000-06 16.891 -0.280 0
2000-07 16.647 0.492 0
2000-08 15.296 -0.190 0
2000-09 15.672 0.578 0
2000-10 17.291 -0.176 0
2000-11 17.361 0.571 0
2000-12 17.994 0.079 0
2001-01 18.116 -0.635 0
2001-02 17.580 -0.275 0
2001-03 17.633 -0.653 0
2001-04 18.323 -1.518 1
2001-05 16.239 -0.416 1
2001-06 15.185 -0.948 1
2001-07 14.681 -0.775 1
2001-08 13.599 -0.637 1
2001-09 15.869 -1.030 1
2001-10 15.955 -0.945 1
2001-11 14.715 -0.685 1
2001-12 14.118 -0.088 1
2002-01 13.880 0.307 0
2002-02 13.599 0.184 0
2002-03 13.554 0.709 0
2002-04 13.239 0.485 0
2002-05 13.930 0.847 0
2002-06 14.006 1.112 0
2002-07 16.369 0.148 0
2002-08 15.616 0.450 0
2002-09 13.889 0.102 0
2002-10 14.776 0.540 0
2002-11 14.557 0.219 0
2002-12 12.526 -0.538 0
2003-01 12.845 0.665 0
2003-02 11.311 -0.331 0
2003-03 12.071 -0.329 0
2003-04 12.000 0.134 0
2003-05 11.690 0.384 0
2003-06 11.078 0.472 0
2003-07 10.878 0.677 0
2003-08 10.607 0.190 0
2003-09 10.687 0.882 0
2003-10 10.347 1.164 0
2003-11 10.312 0.586 0
2003-12 9.793 0.789 0
2004-01 10.085 0.608 0
2004-02 9.390 0.292 0
2004-03 9.759 1.472 0
2004-04 10.954 0.899 0
2004-05 10.359 1.152 0
2004-06 9.217 -0.171 0
2004-07 9.673 0.108 0
2004-08 9.922 0.638 0
2004-09 9.471 0.683 0
2004-10 10.495 1.474 0
2004-11 9.732 0.256 0
2004-12 9.282 1.317 0
2005-01 9.063 0.829 0
2005-02 8.962 1.066 0
2005-03 8.912 0.443 0
2005-04 9.639 1.189 0
2005-05 9.188 0.429 0
2005-06 8.549 0.914 0
2005-07 8.620 1.181 0
2005-08 8.564 0.334 0
2005-09 8.627 -0.892 0
2005-10 10.239 -0.194 0
2005-11 9.995 1.442 0
2005-12 8.110 0.939 0
2006-01 9.127 1.293 0
2006-02 8.426 1.260 0
2006-03 8.787 1.007 0
2006-04 9.260 0.439 0
2006-05 9.957 -0.098 0
2006-06 10.829 0.260 0
2006-07 10.741 0.852 0
2006-08 10.351 0.414 0
2006-09 10.067 0.170 0
2006-10 9.404 0.095 0
2006-11 9.415 0.639 0
2006-12 7.804 0.913 0
2007-01 8.472 0.595 0
2007-02 8.258 0.560 0
2007-03 7.725 1.057 0
2007-04 7.512 0.537 0
2007-05 7.040 0.681 0
2007-06 7.543 0.075 0
2007-07 8.977 -0.123 0
2007-08 10.895 -0.138 0
2007-09 9.789 0.514 0
2007-10 10.246 0.321 0
2007-11 12.352 0.505 0
2007-12 11.401 0.230 1
2008-01 14.080 -0.158 1
2008-02 13.359 -0.463 1
2008-03 13.569 -0.436 1
2008-04 13.521 -0.911 1
2008-05 12.400 -1.194 1
2008-06 12.819 -0.964 1
2008-07 15.671 -0.991 1
2008-08 14.985 -1.613 1
2008-09 16.022 -3.156 1
2008-10 18.458 -2.455 1
2008-11 18.801 -2.631 1
2008-12 17.881 -2.607 1
2009-01 16.461 -3.396 1
2009-02 16.528 -2.722 1
2009-03 17.542 -2.738 1
2009-04 16.604 -1.559 1
2009-05 14.739 -0.986 1
2009-06 13.713 -1.390 1
2009-07 13.327 0.084 1
2009-08 12.194 0.872 0
2009-09 11.548 0.732 0

Figure 4 Data: Smoothed Probabilities of the Volatility Factor and of the Economic Factor and NBER Recessions

Date Prob.Vol. Factor Prob.Eco.Factor NBER
1971-09 0.337 0.000 0
1971-10 0.339 0.002 0
1971-11 0.322 0.000 0
1971-12 0.232 0.000 0
1972-01 0.148 0.000 0
1972-02 0.113 0.000 0
1972-03 0.078 0.000 0
1972-04 0.057 0.000 0
1972-05 0.047 0.000 0
1972-06 0.043 0.002 0
1972-07 0.048 0.039 0
1972-08 0.059 0.000 0
1972-09 0.047 0.001 0
1972-10 0.051 0.000 0
1972-11 0.061 0.000 0
1972-12 0.080 0.000 0
1973-01 0.108 0.000 0
1973-02 0.136 0.000 0
1973-03 0.165 0.001 0
1973-04 0.199 0.002 0
1973-05 0.253 0.001 0
1973-06 0.299 0.002 0
1973-07 0.407 0.008 0
1973-08 0.458 0.001 0
1973-09 0.614 0.002 0
1973-10 0.681 0.000 0
1973-11 0.825 0.004 0
1973-12 0.861 0.176 1
1974-01 0.843 0.350 1
1974-02 0.775 0.414 1
1974-03 0.749 0.493 1
1974-04 0.750 0.513 1
1974-05 0.780 0.516 1
1974-06 0.814 0.658 1
1974-07 0.900 0.783 1
1974-08 0.890 0.946 1
1974-09 0.871 0.974 1
1974-10 0.793 0.992 1
1974-11 0.578 1.000 1
1974-12 0.467 1.000 1
1975-01 0.405 1.000 1
1975-02 0.204 1.000 1
1975-03 0.128 0.991 1
1975-04 0.084 0.778 1
1975-05 0.053 0.037 0
1975-06 0.036 0.030 0
1975-07 0.028 0.000 0
1975-08 0.024 0.000 0
1975-09 0.023 0.001 0
1975-10 0.019 0.000 0
1975-11 0.018 0.001 0
1975-12 0.019 0.000 0
1976-01 0.024 0.000 0
1976-02 0.018 0.000 0
1976-03 0.015 0.000 0
1976-04 0.016 0.001 0
1976-05 0.016 0.007 0
1976-06 0.018 0.002 0
1976-07 0.021 0.000 0
1976-08 0.024 0.000 0
1976-09 0.023 0.000 0
1976-10 0.021 0.004 0
1976-11 0.021 0.000 0
1976-12 0.016 0.000 0
1977-01 0.016 0.000 0
1977-02 0.018 0.000 0
1977-03 0.020 0.000 0
1977-04 0.024 0.000 0
1977-05 0.028 0.000 0
1977-06 0.029 0.000 0
1977-07 0.026 0.000 0
1977-08 0.023 0.001 0
1977-09 0.026 0.000 0
1977-10 0.022 0.001 0
1977-11 0.020 0.000 0
1977-12 0.020 0.003 0
1978-01 0.021 0.008 0
1978-02 0.022 0.001 0
1978-03 0.024 0.000 0
1978-04 0.027 0.000 0
1978-05 0.024 0.001 0
1978-06 0.022 0.000 0
1978-07 0.024 0.002 0
1978-08 0.030 0.001 0
1978-09 0.043 0.003 0
1978-10 0.062 0.000 0
1978-11 0.048 0.000 0
1978-12 0.047 0.001 0
1979-01 0.057 0.006 0
1979-02 0.080 0.002 0
1979-03 0.085 0.003 0
1979-04 0.096 0.152 0
1979-05 0.117 0.013 0
1979-06 0.157 0.025 0
1979-07 0.211 0.077 0
1979-08 0.320 0.086 0
1979-09 0.502 0.077 0
1979-10 0.630 0.051 0
1979-11 0.658 0.063 0
1979-12 0.705 0.084 0
1980-01 0.830 0.136 0
1980-02 0.842 0.405 1
1980-03 0.771 0.776 1
1980-04 0.585 0.999 1
1980-05 0.489 1.000 1
1980-06 0.447 0.999 1
1980-07 0.439 0.935 1
1980-08 0.447 0.006 1
1980-09 0.500 0.001 0
1980-10 0.524 0.000 0
1980-11 0.567 0.000 0
1980-12 0.568 0.000 0
1981-01 0.412 0.002 0
1981-02 0.323 0.005 0
1981-03 0.268 0.005 0
1981-04 0.222 0.010 0
1981-05 0.143 0.013 0
1981-06 0.111 0.014 0
1981-07 0.090 0.092 0
1981-08 0.088 0.489 1
1981-09 0.097 0.815 1
1981-10 0.104 0.961 1
1981-11 0.125 0.997 1
1981-12 0.172 1.000 1
1982-01 0.230 0.999 1
1982-02 0.257 0.948 1
1982-03 0.329 0.972 1
1982-04 0.308 0.987 1
1982-05 0.348 0.982 1
1982-06 0.437 0.997 1
1982-07 0.549 0.998 1
1982-08 0.624 0.988 1
1982-09 0.610 0.978 1
1982-10 0.668 0.948 1
1982-11 0.479 0.544 1
1982-12 0.387 0.181 1
1983-01 0.284 0.006 0
1983-02 0.147 0.012 0
1983-03 0.091 0.000 0
1983-04 0.058 0.000 0
1983-05 0.041 0.000 0
1983-06 0.031 0.000 0
1983-07 0.023 0.002 0
1983-08 0.021 0.281 0
1983-09 0.021 0.000 0
1983-10 0.023 0.004 0
1983-11 0.022 0.000 0
1983-12 0.024 0.000 0
1984-01 0.030 0.000 0
1984-02 0.027 0.000 0
1984-03 0.028 0.001 0
1984-04 0.028 0.000 0
1984-05 0.033 0.000 0
1984-06 0.041 0.000 0
1984-07 0.041 0.000 0
1984-08 0.041 0.001 0
1984-09 0.033 0.000 0
1984-10 0.034 0.001 0
1984-11 0.028 0.001 0
1984-12 0.027 0.005 0
1985-01 0.029 0.002 0
1985-02 0.024 0.003 0
1985-03 0.024 0.000 0
1985-04 0.027 0.002 0
1985-05 0.034 0.001 0
1985-06 0.035 0.005 0
1985-07 0.047 0.004 0
1985-08 0.051 0.001 0
1985-09 0.048 0.001 0
1985-10 0.049 0.001 0
1985-11 0.056 0.001 0
1985-12 0.075 0.001 0
1986-01 0.070 0.001 0
1986-02 0.070 0.002 0
1986-03 0.064 0.003 0
1986-04 0.067 0.001 0
1986-05 0.064 0.005 0
1986-06 0.077 0.013 0
1986-07 0.108 0.000 0
1986-08 0.112 0.001 0
1986-09 0.133 0.000 0
1986-10 0.115 0.001 0
1986-11 0.131 0.001 0
1986-12 0.162 0.000 0
1987-01 0.197 0.001 0
1987-02 0.224 0.000 0
1987-03 0.240 0.000 0
1987-04 0.289 0.000 0
1987-05 0.295 0.001 0
1987-06 0.323 0.001 0
1987-07 0.407 0.000 0
1987-08 0.558 0.001 0
1987-09 0.713 0.000 0
1987-10 1.000 0.000 0
1987-11 0.801 0.001 0
1987-12 0.533 0.000 0
1988-01 0.358 0.003 0
1988-02 0.262 0.000 0
1988-03 0.196 0.000 0
1988-04 0.145 0.001 0
1988-05 0.106 0.001 0
1988-06 0.078 0.000 0
1988-07 0.062 0.002 0
1988-08 0.048 0.002 0
1988-09 0.039 0.000 0
1988-10 0.037 0.000 0
1988-11 0.032 0.000 0
1988-12 0.029 0.000 0
1989-01 0.027 0.001 0
1989-02 0.028 0.003 0
1989-03 0.028 0.008 0
1989-04 0.026 0.015 0
1989-05 0.030 0.030 0
1989-06 0.038 0.033 0
1989-07 0.031 0.036 0
1989-08 0.031 0.006 0
1989-09 0.035 0.002 0
1989-10 0.048 0.004 0
1989-11 0.048 0.001 0
1989-12 0.065 0.002 0
1990-01 0.075 0.001 0
1990-02 0.086 0.002 0
1990-03 0.121 0.012 0
1990-04 0.183 0.072 0
1990-05 0.293 0.111 0
1990-06 0.487 0.302 0
1990-07 0.775 0.537 0
1990-08 0.969 0.754 1
1990-09 0.779 0.840 1
1990-10 0.677 0.971 1
1990-11 0.502 0.994 1
1990-12 0.427 0.996 1
1991-01 0.394 0.997 1
1991-02 0.247 0.991 1
1991-03 0.164 0.868 1
1991-04 0.126 0.591 1
1991-05 0.112 0.110 0
1991-06 0.113 0.007 0
1991-07 0.119 0.004 0
1991-08 0.140 0.002 0
1991-09 0.176 0.001 0
1991-10 0.219 0.002 0
1991-11 0.250 0.004 0
1991-12 0.327 0.003 0
1992-01 0.305 0.002 0
1992-02 0.195 0.002 0
1992-03 0.164 0.000 0
1992-04 0.149 0.000 0
1992-05 0.088 0.000 0
1992-06 0.068 0.001 0
1992-07 0.055 0.000 0
1992-08 0.051 0.001 0
1992-09 0.058 0.001 0
1992-10 0.074 0.000 0
1992-11 0.098 0.000 0
1992-12 0.146 0.000 0
1993-01 0.237 0.000 0
1993-02 0.311 0.003 0
1993-03 0.209 0.015 0
1993-04 0.196 0.000 0
1993-05 0.094 0.001 0
1993-06 0.062 0.001 0
1993-07 0.043 0.000 0
1993-08 0.035 0.001 0
1993-09 0.032 0.000 0
1993-10 0.035 0.000 0
1993-11 0.035 0.000 0
1993-12 0.031 0.000 0
1994-01 0.033 0.001 0
1994-02 0.036 0.001 0
1994-03 0.047 0.000 0
1994-04 0.051 0.000 0
1994-05 0.034 0.000 0
1994-06 0.025 0.000 0
1994-07 0.023 0.000 0
1994-08 0.021 0.000 0
1994-09 0.020 0.000 0
1994-10 0.022 0.001 0
1994-11 0.026 0.000 0
1994-12 0.026 0.000 0
1995-01 0.034 0.000 0
1995-02 0.038 0.002 0
1995-03 0.049 0.002 0
1995-04 0.066 0.006 0
1995-05 0.101 0.009 0
1995-06 0.107 0.001 0
1995-07 0.112 0.003 0
1995-08 0.085 0.000 0
1995-09 0.089 0.000 0
1995-10 0.102 0.001 0
1995-11 0.099 0.001 0
1995-12 0.104 0.002 0
1996-01 0.130 0.005 0
1996-02 0.112 0.000 0
1996-03 0.120 0.000 0
1996-04 0.112 0.001 0
1996-05 0.121 0.000 0
1996-06 0.154 0.000 0
1996-07 0.213 0.000 0
1996-08 0.124 0.000 0
1996-09 0.107 0.000 0
1996-10 0.106 0.000 0
1996-11 0.117 0.000 0
1996-12 0.148 0.001 0
1997-01 0.146 0.000 0
1997-02 0.154 0.000 0
1997-03 0.173 0.000 0
1997-04 0.160 0.000 0
1997-05 0.118 0.000 0
1997-06 0.114 0.000 0
1997-07 0.127 0.000 0
1997-08 0.126 0.002 0
1997-09 0.150 0.000 0
1997-10 0.203 0.000 0
1997-11 0.228 0.000 0
1997-12 0.295 0.000 0
1998-01 0.310 0.000 0
1998-02 0.330 0.000 0
1998-03 0.406 0.001 0
1998-04 0.528 0.000 0
1998-05 0.550 0.000 0
1998-06 0.657 0.002 0
1998-07 0.785 0.003 0
1998-08 0.992 0.000 0
1998-09 0.994 0.000 0
1998-10 0.996 0.000 0
1998-11 0.975 0.000 0
1998-12 0.959 0.000 0
1999-01 0.959 0.002 0
1999-02 0.954 0.000 0
1999-03 0.966 0.002 0
1999-04 0.995 0.000 0
1999-05 0.939 0.001 0
1999-06 0.909 0.000 0
1999-07 0.895 0.000 0
1999-08 0.909 0.001 0
1999-09 0.926 0.001 0
1999-10 0.987 0.000 0
1999-11 0.982 0.000 0
1999-12 0.988 0.000 0
2000-01 0.996 0.000 0
2000-02 0.991 0.001 0
2000-03 0.995 0.000 0
2000-04 0.972 0.001 0
2000-05 0.918 0.004 0
2000-06 0.897 0.014 0
2000-07 0.898 0.011 0
2000-08 0.909 0.021 0
2000-09 0.958 0.025 0
2000-10 0.995 0.075 0
2000-11 0.983 0.111 0
2000-12 0.978 0.299 0
2001-01 0.961 0.604 0
2001-02 0.942 0.732 0
2001-03 0.937 0.896 0
2001-04 0.927 0.972 1
2001-05 0.851 0.977 1
2001-06 0.828 0.990 1
2001-07 0.833 0.989 1
2001-08 0.863 0.983 1
2001-09 0.942 0.977 1
2001-10 0.843 0.925 1
2001-11 0.744 0.776 1
2001-12 0.703 0.421 1
2002-01 0.694 0.162 0
2002-02 0.708 0.072 0
2002-03 0.748 0.016 0
2002-04 0.804 0.005 0
2002-05 0.901 0.001 0
2002-06 0.943 0.000 0
2002-07 0.980 0.002 0
2002-08 0.748 0.002 0
2002-09 0.614 0.002 0
2002-10 0.525 0.002 0
2002-11 0.371 0.005 0
2002-12 0.251 0.011 0
2003-01 0.185 0.005 0
2003-02 0.130 0.014 0
2003-03 0.103 0.012 0
2003-04 0.068 0.006 0
2003-05 0.042 0.002 0
2003-06 0.028 0.001 0
2003-07 0.021 0.001 0
2003-08 0.018 0.001 0
2003-09 0.017 0.000 0
2003-10 0.015 0.000 0
2003-11 0.015 0.001 0
2003-12 0.016 0.000 0
2004-01 0.020 0.001 0
2004-02 0.022 0.001 0
2004-03 0.031 0.000 0
2004-04 0.041 0.000 0
2004-05 0.026 0.000 0
2004-06 0.023 0.005 0
2004-07 0.022 0.003 0
2004-08 0.022 0.001 0
2004-09 0.021 0.001 0
2004-10 0.025 0.000 0
2004-11 0.016 0.002 0
2004-12 0.014 0.000 0
2005-01 0.013 0.000 0
2005-02 0.014 0.000 0
2005-03 0.015 0.001 0
2005-04 0.018 0.000 0
2005-05 0.016 0.001 0
2005-06 0.018 0.000 0
2005-07 0.023 0.001 0
2005-08 0.030 0.008 0
2005-09 0.044 0.020 0
2005-10 0.068 0.007 0
2005-11 0.054 0.000 0
2005-12 0.052 0.001 0
2006-01 0.047 0.000 0
2006-02 0.041 0.000 0
2006-03 0.044 0.000 0
2006-04 0.053 0.002 0
2006-05 0.064 0.005 0
2006-06 0.067 0.002 0
2006-07 0.048 0.001 0
2006-08 0.035 0.002 0
2006-09 0.032 0.002 0
2006-10 0.034 0.002 0
2006-11 0.043 0.001 0
2006-12 0.061 0.000 0
2007-01 0.070 0.001 0
2007-02 0.086 0.001 0
2007-03 0.123 0.000 0
2007-04 0.187 0.001 0
2007-05 0.293 0.002 0
2007-06 0.454 0.005 0
2007-07 0.717 0.008 0
2007-08 0.875 0.008 0
2007-09 0.864 0.006 0
2007-10 0.916 0.014 0
2007-11 0.985 0.033 0
2007-12 0.978 0.129 1
2008-01 0.993 0.364 1
2008-02 0.939 0.631 1
2008-03 0.916 0.806 1
2008-04 0.906 0.944 1
2008-05 0.911 0.986 1
2008-06 0.951 0.994 1
2008-07 0.999 0.998 1
2008-08 0.990 1.000 1
2008-09 0.994 1.000 1
2008-10 0.996 1.000 1
2008-11 0.898 1.000 1
2008-12 0.794 1.000 1
2009-01 0.743 1.000 1
2009-02 0.731 1.000 1
2009-03 0.718 1.000 1
2009-04 0.457 0.994 1
2009-05 0.303 0.966 1
2009-06 0.222 0.902 1
2009-07 0.176 0.318 1
2009-08 0.152 0.088 0
2009-09 0.151 0.066 0

Figure 5 Data: Out of Sample Recursive Predictive Probabilities of High Volatility State

Date Probability NBER
2004-10 0.104 0
2004-11 0.160 0
2004-12 0.115 0
2005-01 0.105 0
2005-02 0.100 0
2005-03 0.097 0
2005-04 0.095 0
2005-05 0.119 0
2005-06 0.100 0
2005-07 0.098 0
2005-08 0.097 0
2005-09 0.095 0
2005-10 0.094 0
2005-11 0.237 0
2005-12 0.172 0
2006-01 0.191 0
2006-02 0.184 0
2006-03 0.140 0
2006-04 0.128 0
2006-05 0.131 0
2006-06 0.163 0
2006-07 0.263 0
2006-08 0.217 0
2006-09 0.161 0
2006-10 0.131 0
2006-11 0.114 0
2006-12 0.107 0
2007-01 0.155 0
2007-02 0.139 0
2007-03 0.118 0
2007-04 0.113 0
2007-05 0.110 0
2007-06 0.114 0
2007-07 0.109 0
2007-08 0.187 0
2007-09 0.674 0
2007-10 0.402 0
2007-11 0.369 0
2007-12 0.827 1
2008-01 0.643 1
2008-02 0.895 1
2008-03 0.776 1
2008-04 0.689 1
2008-05 0.595 1
2008-06 0.432 1
2008-07 0.406 1
2008-08 0.902 1
2008-09 0.787 1
2008-10 0.809 1
2008-11 0.902 1
2008-12 0.831 1
2009-01 0.699 1
2009-02 0.555 1
2009-03 0.521 1
2009-04 0.790 1
2009-05 0.653 1
2009-06 0.510 1
2009-07 0.408 1
2009-08 0.315 0
2009-09 0.242 0
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