Association of TUNINDEX bubble periods identified by the GSADF test with volatility regimes based on MSGARCH transition probabilities
| Bubble–volatility regime association | Monte Carlo | Sieve-bootstrap | Wild-bootstrap |
|---|---|---|---|
| Bubbles | 2,309 | 2,560 | 1,078 |
| Regime 1 | 728 | 598 | 132 |
| Regime 2 | 1,581 | 1,962 | 946 |
| Regime1% | 31.52 | 23.36 | 12.24 |
| Regime 2% | 68.48 | 76.64 | 87.76 |
| Bubble–volatility regime association | Monte Carlo | Sieve-bootstrap | Wild-bootstrap |
|---|---|---|---|
| Bubbles | 2,309 | 2,560 | 1,078 |
| Regime 1 | 728 | 598 | 132 |
| Regime 2 | 1,581 | 1,962 | 946 |
| Regime1% | 31.52 | 23.36 | 12.24 |
| Regime 2% | 68.48 | 76.64 | 87.76 |
Source(s):
Authors’ own creation
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