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

Return to Figure 1

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

Return to Figure 2

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

Return to Figure 3

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

Return to Figure 4

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

Return to Figure 5

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