The answer will be different for each person. Starting a business is more stressful and has a lot of risks but is potentially more rewarding. Taking a regular job is “safer” in the traditional sense, the risk here is mostly of possible future regret - in the future you may wish you had tried out riskier things when you were young.
There are people who will argue that having a job is still a risk since you are dependent on the competence and good will of other people to earn a living, that your safe job may not actually be as safe as you imagine since you could get fired or the company could go under at any time. But truthfully, you run the same risks when running a business, except that you do more of the work yourself, so whether you are able to overcome those risks or not is more dependent on your own effort.
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