Table 2 Sensitivity analysis of...

Table 2

Sensitivity analysis of entropy-resilience estimates across rolling windows and histogram bins

Rolling window (weeks)	Histogram bins	Mean entropy	Std entropy	Mean resilience	Std resilience	Min resilience	Max resilience	Best lead-lag (weeks)	Best lead-lag correlation
8	5	0.808	0.163	0.192	0.163	0.031	0.766	9	−0.145
8	8	0.736	0.128	0.264	0.128	0.083	0.819	11	−0.179
8	10	0.709	0.124	0.291	0.124	0.097	0.836	9	−0.152
8	12	0.669	0.112	0.331	0.112	0.163	0.848	9	−0.190
12	5	0.806	0.200	0.194	0.200	0.013	0.822	2	−0.111
12	8	0.776	0.155	0.224	0.155	0.027	0.862	3	−0.103
12	10	0.757	0.152	0.243	0.152	0.021	0.875	9	−0.114
12	12	0.735	0.143	0.265	0.143	0.093	0.885	7	−0.140
16	5	0.782	0.244	0.218	0.244	0.005	0.855	2	−0.114
16	8	0.773	0.194	0.227	0.194	0.016	0.888	10	−0.125
16	10	0.764	0.186	0.236	0.186	0.022	0.898	11	−0.143
16	12	0.753	0.177	0.247	0.177	0.024	0.906	10	−0.155
20	5	0.744	0.274	0.256	0.274	0.008	0.877	10	−0.127
20	8	0.756	0.216	0.244	0.216	0.022	0.905	2	−0.120
20	10	0.753	0.212	0.247	0.212	0.023	0.914	10	−0.145
20	12	0.749	0.208	0.251	0.208	0.018	0.920	9	−0.146

Rolling window (weeks)	Histogram bins	Mean entropy	Std entropy	Mean resilience	Std resilience	Min resilience	Max resilience	Best lead-lag (weeks)	Best lead-lag correlation
8	5	0.808	0.163	0.192	0.163	0.031	0.766	9	−0.145
8	8	0.736	0.128	0.264	0.128	0.083	0.819	11	−0.179
8	10	0.709	0.124	0.291	0.124	0.097	0.836	9	−0.152
8	12	0.669	0.112	0.331	0.112	0.163	0.848	9	−0.190
12	5	0.806	0.200	0.194	0.200	0.013	0.822	2	−0.111
12	8	0.776	0.155	0.224	0.155	0.027	0.862	3	−0.103
12	10	0.757	0.152	0.243	0.152	0.021	0.875	9	−0.114
12	12	0.735	0.143	0.265	0.143	0.093	0.885	7	−0.140
16	5	0.782	0.244	0.218	0.244	0.005	0.855	2	−0.114
16	8	0.773	0.194	0.227	0.194	0.016	0.888	10	−0.125
16	10	0.764	0.186	0.236	0.186	0.022	0.898	11	−0.143
16	12	0.753	0.177	0.247	0.177	0.024	0.906	10	−0.155
20	5	0.744	0.274	0.256	0.274	0.008	0.877	10	−0.127
20	8	0.756	0.216	0.244	0.216	0.022	0.905	2	−0.120
20	10	0.753	0.212	0.247	0.212	0.023	0.914	10	−0.145
20	12	0.749	0.208	0.251	0.208	0.018	0.920	9	−0.146

Note(s): The table reports sensitivity results for alternative rolling-window lengths $L$ and histogram-bin counts $n$ ⁠. For each specification, normalized Shannon entropy $H_{t}^{(N)}$ ⁠, resilience $R_{t} = 1 - H_{t}^{(N)}$ ⁠, and the strongest negative lead-lag correlation between $R_{t}$ and $∣ r_{t + k} ∣$ are computed. The lead-lag horizon is measured in weeks

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