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This is fundamental to your mental well-being. Exercise will make you feel better, for several reasons. First, taking steps towards improving your physical fitness will also improve your self-esteem. Second, on a biochemical level, a good work-out releases extra endorphins into the brain, and endorphins are the brain's own 'happy drugs'. Third, depending on the type of exercise you choose, you will be in the company of other people, which makes many sufferers of depression feel a lot better. And fourth, a healthy body is better able to deal with fluctuations in adrenaline level, helping to reduce the likelihood of anxiety and panic attacks. So there are very good reasons for regular, moderate exercise.
The actual type of exercise you choose should depend on your physique, level of fitness and personal preference. Walking is within reach of anyone, and a good long walk in pleasant surroundings (even if you have to take a train or bus to get there) can do wonders for the mind. Cycling is another relatively accessible form of exercise, although people living in town centres may find visiting the gym is a more practical and friendly alternative. One particularly good exercise is swimming, because it exercises most of the body's major muscle groups simultaneously, and because as long as you don't over-do it, it's pretty difficult to injure yourself while swimming.
Time your exercise carefully. Ideally, you should exercise in the morning, for two reasons; you'll give yourself a boost when you're likely to be feeling worst (because in many sufferers the symptoms of depression are worst in the morning) and you shouldn't have problems getting to sleep, whereas you might if you exercise in the evening.

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