This paper shows that stock volatility increases during recessions and financial crises from 1834-1987. The evidence reinforces the notion that stock prices are an important business cycle indicator. Using two different statistical models for stock volatility, I show that volatility increases...

We estimate GARCH-M model to measure the impact of the financial crisis on stock market returns and volatility by introducing dummy variables in the mean and variance equations to measure the behavior of stock return and volatility during the crises. We examine the impact of these crises,...