Hi guys,

I'd like to test whether monthly log-return volatility is stronger during recessionary periods compared to expansion periods.
Therefore, I collected a monthly dummy variable that takes on value 1 if it is a recessionary period and 0 if not.

I can easily regress the dummy variable on the log-return volatility data, but I do not know how to make the comparison.
How would you guys suggest doing this?

Kind regards,

Tim