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Fig. 7 - Predicted Stock Return Volatility in Recessions and Expansions

This figure shows the predicted stock return volatility in recessions versus expansions from 1859 to 1994. It finds that the standard deviation of monthly stock returns is significantly higher during recessions, averaging around 12%, compared to expansions where it averages around 6%. Volatility is thus predicted to roughly double during economic downturns compared to periods of growth.

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jacch123
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44 views1 page

Fig. 7 - Predicted Stock Return Volatility in Recessions and Expansions

This figure shows the predicted stock return volatility in recessions versus expansions from 1859 to 1994. It finds that the standard deviation of monthly stock returns is significantly higher during recessions, averaging around 12%, compared to expansions where it averages around 6%. Volatility is thus predicted to roughly double during economic downturns compared to periods of growth.

Uploaded by

jacch123
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Fig.

7 -- Predicted Stock Return Volatility in Recessions and Expansions


Predicted Stock SD in Recessions Predicted Stock SD in Expansions
16%

14%
Standard Deviation of Stock Returns per Month

12%

10%

8%

6%

4%

2%

0%
1859

1864

1869

1874

1879

1884

1889

1894

1899

1904

1909

1914

1919

1924

1929

1934

1939

1944

1949

1954

1959

1964

1969

1974

1979

1984

1989

1994

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