As the empty follicle shrinks, if the egg is not fertilized, levels of estrogen and progesterone decrease. Without the high levels of hormones to help maintain it, the thick womb lining that has been built up starts to break down, and your body sheds the lining. This is the start of your period and the beginning of your next menstrual cycle.
If the egg has been fertilized, it may successfully implant itself into the womb lining. This usually takes place about a week after fertilization.
As soon as the fertilized egg has implanted, your body starts producing the pregnancy hormone, human Chorionic Gonadotrophin (hCG), which will keep the empty follicle active. It continues to produce the hormones estrogen and progesterone to prevent the lining of the womb from being shed, until the placenta (which contains all the nutrients the embryo needs) is mature enough to maintain the pregnancy.