Table 3 Regime shifting model estimates...

Table 3

Regime shifting model estimates

Panel A: Regime specific coefficients – cointegrating vector
ETNs (29 November 2010 through 15 February 2018)			ETNs (3 October 2011 through 31 March 2018)		ETFs (3 October 2011 through 31 March 2018)
	Regime 1	Regime 2	Regime 1	Regime 2		Regime 1	Regime 2
µ	7.658449	7.69224	7.40075	9.19638	µ	5.3876	5.486448
Ln(TVIX)	0.037468	0.10821	0.01060	0.25611	Ln(UVXY)	−0.00409	−0.00575
Ln(VXX)	1.087805	0.706911	1.01639	0.22492	Ln(VIXY)	0.97557	0.970747
Ln(XIV)	−0.03815	−0.00758	−0.00459	−0.0244	Ln(SVXY)	−0.00907	−0.0083
σ	0.003646	0.090202	0.01547	0.023741	σ	0.0038	0.04002
ECM (−1)	−0.12	−0.05	−0.13	−0.05	ECM (−1)	−0.18	−0.07

Panel A: Regime specific coefficients – cointegrating vector
ETNs (29 November 2010 through 15 February 2018)			ETNs (3 October 2011 through 31 March 2018)		ETFs (3 October 2011 through 31 March 2018)
	Regime 1	Regime 2	Regime 1	Regime 2		Regime 1	Regime 2
µ	7.658449	7.69224	7.40075	9.19638	µ	5.3876	5.486448
Ln(TVIX)	0.037468	0.10821	0.01060	0.25611	Ln(UVXY)	−0.00409	−0.00575
Ln(VXX)	1.087805	0.706911	1.01639	0.22492	Ln(VIXY)	0.97557	0.970747
Ln(XIV)	−0.03815	−0.00758	−0.00459	−0.0244	Ln(SVXY)	−0.00907	−0.0083
σ	0.003646	0.090202	0.01547	0.023741	σ	0.0038	0.04002
ECM (−1)	−0.12	−0.05	−0.13	−0.05	ECM (−1)	−0.18	−0.07

Panel B: Regime specific coefficients – cointegrating vector
ETNs (29 November 2010 through 15 February 2018)			ETFs (3 October 2011 through 31 March 2018)
	Regime 1	Regime 2		Regime 1	Regime 2
Ln(TVIX) → Ln(SPVXSTR)	0.037468	0.10821	Ln(UVXY) → Ln(SPVXSTR)	−0.00409	−0.00575
Ln(VXX) → Ln(SPVXSTR)	1.087805	0.706911	Ln(VIXY) → Ln(SPVXSTR)	0.97557	0.970747
Ln(XIV) → Ln(SPVXSTR)	−0.03815	−0.00758	Ln(SVXY) → Ln(SPVXSTR)	−0.00907	−0.0083
Ln(SPVXSTR) → Ln(TVIX)	26.68944	9.24129	Ln(SPVXSTR) → Ln(UVXY)	−244.618	−173.822
Ln(VXX) → Ln(TVIX)	−29.0329	−6.53277	Ln(VIXY) → Ln(UVXY)	238.642	138.738
Ln(XIV) → Ln(TVIX)	1.018202	0.070049	Ln(SVXY) → Ln(UVXY)	−2.2182	−1.44289
Ln(SPVXSTR) → Ln(VXX)	0.919282	1.414605	Ln(SPVXSTR) → Ln(VIXY)	1.02504	1.03014
Ln(TVIX) → Ln(VXX)	−0.03444	−0.15307	Ln(UVXY) → Ln(VIXY)	0.00419	0.00593
Ln(XIV) → Ln(VXX)	0.03507	0.01072	Ln(SVXY) → Ln(VIXY)	0.0093	0.00855
Ln(SPVXSTR) → Ln(XIV)	−26.2123	−131.926	Ln(SPVXSTR) → Ln(SVXY)	−110.278	−120.467
Ln(TVIX) → Ln(XIV)	0.982123	14.27573	Ln(UVXY) → Ln(SVXY)	−0.450816	−0.693049
Ln(VXX) → Ln(XIV)	28.51389	93.26003	Ln(VIXY) → Ln(SVXY)	107.584	116.943

Panel B: Regime specific coefficients – cointegrating vector
ETNs (29 November 2010 through 15 February 2018)			ETFs (3 October 2011 through 31 March 2018)
	Regime 1	Regime 2		Regime 1	Regime 2
Ln(TVIX) → Ln(SPVXSTR)	0.037468	0.10821	Ln(UVXY) → Ln(SPVXSTR)	−0.00409	−0.00575
Ln(VXX) → Ln(SPVXSTR)	1.087805	0.706911	Ln(VIXY) → Ln(SPVXSTR)	0.97557	0.970747
Ln(XIV) → Ln(SPVXSTR)	−0.03815	−0.00758	Ln(SVXY) → Ln(SPVXSTR)	−0.00907	−0.0083
Ln(SPVXSTR) → Ln(TVIX)	26.68944	9.24129	Ln(SPVXSTR) → Ln(UVXY)	−244.618	−173.822
Ln(VXX) → Ln(TVIX)	−29.0329	−6.53277	Ln(VIXY) → Ln(UVXY)	238.642	138.738
Ln(XIV) → Ln(TVIX)	1.018202	0.070049	Ln(SVXY) → Ln(UVXY)	−2.2182	−1.44289
Ln(SPVXSTR) → Ln(VXX)	0.919282	1.414605	Ln(SPVXSTR) → Ln(VIXY)	1.02504	1.03014
Ln(TVIX) → Ln(VXX)	−0.03444	−0.15307	Ln(UVXY) → Ln(VIXY)	0.00419	0.00593
Ln(XIV) → Ln(VXX)	0.03507	0.01072	Ln(SVXY) → Ln(VIXY)	0.0093	0.00855
Ln(SPVXSTR) → Ln(XIV)	−26.2123	−131.926	Ln(SPVXSTR) → Ln(SVXY)	−110.278	−120.467
Ln(TVIX) → Ln(XIV)	0.982123	14.27573	Ln(UVXY) → Ln(SVXY)	−0.450816	−0.693049
Ln(VXX) → Ln(XIV)	28.51389	93.26003	Ln(VIXY) → Ln(SVXY)	107.584	116.943

Note(s): Table shows Markov Switching VECM Model Estimates of the period. The ETN model is fitted over the period 29 November 2010 through 15 February 2018. The ETF model is fitted over the period 3 October 2011 through 31 March 2018. Regime 1: Low Mean Low Volatility; Regime 2: High Low Mean High Volatility. All estimates are statistically significant at the 1% level of significance. For the robustness, the ETN model is fitted over the period 3 October 2011 through 31 March 2018

Source(s): Authors’ own work

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