Table 5.

Association of TUNINDEX bubble periods identified by the GSADF test with volatility regimes based on MSGARCH transition probabilities

Bubble–volatility regime associationMonte CarloSieve-bootstrapWild-bootstrap
Bubbles2,3092,5601,078
Regime 1728598132
Regime 21,5811,962946
Regime1%31.5223.3612.24
Regime 2%68.4876.6487.76

Source(s):

Authors’ own creation

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