Stock market volatility and the business cycle
研究月度股票收益与工业产出增长的联合时间序列行为，发现经济衰退是驱动股市波动性变化的主要因素，该模型可用于预测股市波动和识别经济转折点。
This paper investigates the joint time series behavior of monthly stock returns and growth in industrial production. We find that stock returns are well characterized by year-long episodes of high volatility, separated by longer quiet periods. Real output growth, on the other hand, is subject to abrupt changes in the mean associated with economic recessions. We study a bivariate model in which these two changes are driven by related unobserved variables, and conclude that economic recessions are the primary factor that drives fluctuations in the volatility of stock returns. This framework proves useful both for forecasting stock volatility and for identifying and forecasting economic turning points.