Finance and Economics Discussion Series: Data for paper 201361
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What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?
Figure 1 Data: Volatility Measures
| Date | RVM | RVI | RVB |
|---|---|---|---|
| 1985-01 | 1.2654 | 0.9274 | 0.6401 |
| 1985-02 | 0.8867 | 0.7399 | 0.5227 |
| 1985-03 | 0.9014 | 0.8488 | 0.4351 |
| 1985-04 | 0.6543 | 0.7842 | 0.3592 |
| 1985-05 | 0.9722 | 0.9001 | 0.7762 |
| 1985-06 | 0.7974 | 0.7925 | 0.9787 |
| 1985-07 | 0.9124 | 1.0252 | 0.5917 |
| 1985-08 | 0.7913 | 0.5720 | 0.3205 |
| 1985-09 | 1.0027 | 0.7712 | 0.4332 |
| 1985-10 | 0.9587 | 0.9558 | 0.2565 |
| 1985-11 | 0.9821 | 0.7006 | 0.2772 |
| 1985-12 | 1.1464 | 1.0491 | 0.4542 |
| 1986-01 | 1.3334 | 1.0260 | 0.5184 |
| 1986-02 | 1.0411 | 1.0401 | 0.7322 |
| 1986-03 | 1.0885 | 1.0602 | 0.7912 |
| 1986-04 | 1.4735 | 1.0868 | 0.6756 |
| 1986-05 | 1.1512 | 0.9399 | 0.7547 |
| 1986-06 | 1.1699 | 0.8428 | 0.9720 |
| 1986-07 | 1.5451 | 1.1132 | 0.5551 |
| 1986-08 | 1.0999 | 1.0413 | 0.4646 |
| 1986-09 | 1.7810 | 1.1291 | 0.8153 |
| 1986-10 | 0.9679 | 1.0111 | 0.4640 |
| 1986-11 | 1.2623 | 0.8337 | 0.0642 |
| 1986-12 | 1.1339 | 0.7939 | 0.0354 |
| 1987-01 | 1.5478 | 1.1036 | 0.0488 |
| 1987-02 | 1.1930 | 1.0824 | -0.0612 |
| 1987-03 | 1.3354 | 1.0278 | 0.2065 |
| 1987-04 | 1.7348 | 1.2112 | 0.8248 |
| 1987-05 | 1.4597 | 1.0720 | 0.8691 |
| 1987-06 | 0.9836 | 0.9375 | 0.6976 |
| 1987-07 | 0.8613 | 0.9519 | 0.0847 |
| 1987-08 | 1.3076 | 1.0596 | 0.4651 |
| 1987-09 | 1.4500 | 0.9799 | 0.6531 |
| 1987-10 | 3.1605 | 2.0516 | 1.5189 |
| 1987-11 | 2.0008 | 1.2831 | 0.3270 |
| 1987-12 | 1.9699 | 1.3650 | 0.6977 |
| 1988-01 | 2.1107 | 1.2901 | 0.6660 |
| 1988-02 | 1.2959 | 1.0078 | 0.2355 |
| 1988-03 | 1.2512 | 0.9842 | 0.4131 |
| 1988-04 | 1.6074 | 0.8270 | 0.3203 |
| 1988-05 | 1.4298 | 0.7812 | 0.0949 |
| 1988-06 | 1.3887 | 0.8906 | 0.8668 |
| 1988-07 | 1.2378 | 0.6822 | 0.3893 |
| 1988-08 | 1.1861 | 0.6653 | 0.3670 |
| 1988-09 | 1.0368 | 0.7430 | 0.5342 |
| 1988-10 | 1.1752 | 0.9966 | 0.0868 |
| 1988-11 | 1.1780 | 0.6929 | 0.1009 |
| 1988-12 | 0.6622 | 0.6182 | 0.2939 |
| 1989-01 | 0.9699 | 0.6296 | 0.0381 |
| 1989-02 | 1.0776 | 0.5620 | 0.2530 |
| 1989-03 | 1.1413 | 0.7515 | 0.2291 |
| 1989-04 | 0.9070 | 0.6398 | 0.1757 |
| 1989-05 | 0.9886 | 0.6975 | 0.6142 |
| 1989-06 | 1.2121 | 0.9355 | 0.4335 |
| 1989-07 | 0.9638 | 0.8435 | -0.0501 |
| 1989-08 | 1.1112 | 0.8804 | 0.3895 |
| 1989-09 | 0.7055 | 0.7956 | -0.1879 |
| 1989-10 | 1.8781 | 1.1192 | -0.0872 |
| 1989-11 | 0.9220 | 0.8658 | -0.2094 |
| 1989-12 | 1.0172 | 1.0108 | -0.1066 |
| 1990-01 | 1.5818 | 1.0813 | 0.1985 |
| 1990-02 | 1.0264 | 0.8217 | 0.4627 |
| 1990-03 | 1.0149 | 0.8398 | 0.1909 |
| 1990-04 | 1.0556 | 0.7898 | -0.0188 |
| 1990-05 | 1.1617 | 0.8063 | 0.4229 |
| 1990-06 | 1.1621 | 0.8852 | 0.1482 |
| 1990-07 | 1.1828 | 1.1150 | -0.0177 |
| 1990-08 | 2.0529 | 1.5393 | 0.8225 |
| 1990-09 | 1.4613 | 1.2474 | -0.0451 |
| 1990-10 | 1.8309 | 1.4584 | 0.4765 |
| 1990-11 | 1.5057 | 1.1494 | 0.2383 |
| 1990-12 | 0.9543 | 1.1398 | 0.5139 |
| 1991-01 | 1.6665 | 1.3646 | 0.6209 |
| 1991-02 | 1.5165 | 1.3021 | -0.1653 |
| 1991-03 | 1.2394 | 1.2491 | 0.0077 |
| 1991-04 | 1.3984 | 1.0895 | 0.1301 |
| 1991-05 | 1.2868 | 1.1169 | 0.0162 |
| 1991-06 | 1.1284 | 0.9057 | -0.2353 |
| 1991-07 | 1.0842 | 0.9801 | -0.1458 |
| 1991-08 | 1.4413 | 0.9476 | 0.1625 |
| 1991-09 | 0.7732 | 0.7742 | -0.1843 |
| 1991-10 | 1.1489 | 1.0674 | 0.3616 |
| 1991-11 | 1.4652 | 1.0358 | -0.0631 |
| 1991-12 | 1.4424 | 1.2004 | 0.2433 |
| 1992-01 | 1.0567 | 1.4641 | 0.3458 |
| 1992-02 | 1.0524 | 1.0831 | 0.1333 |
| 1992-03 | 0.7673 | 0.8910 | 0.2125 |
| 1992-04 | 1.3916 | 1.3193 | 0.0133 |
| 1992-05 | 0.8472 | 1.1208 | 0.0931 |
| 1992-06 | 0.9865 | 1.2162 | -0.3656 |
| 1992-07 | 1.0336 | 1.1005 | 0.3490 |
| 1992-08 | 0.6468 | 0.9161 | 0.2293 |
| 1992-09 | 1.0191 | 1.0546 | 0.2734 |
| 1992-10 | 1.0338 | 1.0520 | 0.3781 |
| 1992-11 | 0.7351 | 1.0066 | 0.0453 |
| 1992-12 | 0.6067 | 0.9836 | -0.3394 |
| 1993-01 | 0.5685 | 1.2301 | -0.0379 |
| 1993-02 | 1.2752 | 1.4387 | 0.3097 |
| 1993-03 | 1.0234 | 1.1999 | 0.3311 |
| 1993-04 | 1.1298 | 1.5102 | 0.0562 |
| 1993-05 | 0.9650 | 1.1310 | -0.0941 |
| 1993-06 | 0.8247 | 1.1519 | -0.1480 |
| 1993-07 | 0.7160 | 1.0357 | -0.1388 |
| 1993-08 | 0.4240 | 1.1125 | 0.1093 |
| 1993-09 | 0.7719 | 1.1249 | 0.2256 |
| 1993-10 | 0.4842 | 1.2729 | 0.1001 |
| 1993-11 | 0.9731 | 1.1706 | 0.2970 |
| 1993-12 | 0.3744 | 0.8542 | -0.0099 |
| 1994-01 | 0.5992 | 1.0627 | 0.3048 |
| 1994-02 | 1.1055 | 0.8964 | 0.2598 |
| 1994-03 | 1.1032 | 1.0330 | 0.4931 |
| 1994-04 | 1.3206 | 1.2559 | 1.0088 |
| 1994-05 | 0.9735 | 1.0901 | 0.8417 |
| 1994-06 | 0.9981 | 1.0215 | 0.5260 |
| 1994-07 | 0.5775 | 0.8907 | 0.5678 |
| 1994-08 | 0.6980 | 0.9739 | 0.3779 |
| 1994-09 | 0.9298 | 0.8059 | 0.2659 |
| 1994-10 | 1.1219 | 0.9104 | 0.1157 |
| 1994-11 | 1.0050 | 0.9810 | 0.3432 |
| 1994-12 | 0.9316 | 0.9727 | 0.1882 |
| 1995-01 | 0.5287 | 1.0685 | 0.2611 |
| 1995-02 | 0.7507 | 0.8496 | 0.2127 |
| 1995-03 | 0.7004 | 1.0205 | 0.3292 |
| 1995-04 | 0.3342 | 1.0011 | -0.5078 |
| 1995-05 | 1.0209 | 1.1649 | 0.4665 |
| 1995-06 | 0.8859 | 1.0969 | 0.6372 |
| 1995-07 | 1.0686 | 1.2958 | 0.3526 |
| 1995-08 | 0.3352 | 1.1214 | 0.2187 |
| 1995-09 | 0.6750 | 1.1488 | 0.1966 |
| 1995-10 | 0.9255 | 1.3451 | -0.0591 |
| 1995-11 | 0.8221 | 1.2823 | -0.0518 |
| 1995-12 | 1.0476 | 1.2627 | -0.0135 |
| 1996-01 | 1.2605 | 1.4415 | 0.1923 |
| 1996-02 | 1.1223 | 1.0974 | 0.3345 |
| 1996-03 | 1.3374 | 1.4082 | 0.6668 |
| 1996-04 | 1.0854 | 1.2433 | 0.4640 |
| 1996-05 | 1.1051 | 1.0379 | 0.3290 |
| 1996-06 | 0.7546 | 1.0310 | 0.2098 |
| 1996-07 | 1.6782 | 1.4231 | 0.5580 |
| 1996-08 | 1.1536 | 1.1308 | 0.3603 |
| 1996-09 | 0.8840 | 1.0105 | 0.0899 |
| 1996-10 | 0.7903 | 1.1378 | 0.2137 |
| 1996-11 | 0.8671 | 1.0431 | 0.4598 |
| 1996-12 | 1.2697 | 1.2734 | 0.3716 |
| 1997-01 | 1.1867 | 1.2217 | 0.2584 |
| 1997-02 | 1.2418 | 1.2564 | 0.1048 |
| 1997-03 | 1.4045 | 1.4176 | -0.0115 |
| 1997-04 | 1.5897 | 1.5133 | 0.1437 |
| 1997-05 | 1.4157 | 1.2998 | -0.0301 |
| 1997-06 | 1.3156 | 1.2479 | -0.0957 |
| 1997-07 | 1.3542 | 1.2868 | 0.1084 |
| 1997-08 | 1.4307 | 1.1548 | 0.4539 |
| 1997-09 | 1.4295 | 1.1293 | 0.2506 |
| 1997-10 | 2.1842 | 1.4150 | 0.3095 |
| 1997-11 | 1.5720 | 1.1651 | -0.5138 |
| 1997-12 | 1.4763 | 1.4030 | -0.0929 |
| 1998-01 | 1.5577 | 1.4151 | 0.3680 |
| 1998-02 | 1.0853 | 1.1055 | 0.0391 |
| 1998-03 | 1.1336 | 1.3753 | -0.0386 |
| 1998-04 | 1.3695 | 1.4425 | 0.1924 |
| 1998-05 | 1.0505 | 1.2241 | -0.1861 |
| 1998-06 | 1.4547 | 1.3745 | -0.0882 |
| 1998-07 | 1.4779 | 1.3887 | -0.5181 |
| 1998-08 | 2.2710 | 1.5874 | -0.1035 |
| 1998-09 | 2.2424 | 1.7839 | 0.2662 |
| 1998-10 | 2.0484 | 1.9773 | 0.8538 |
| 1998-11 | 1.4375 | 1.4562 | 0.2951 |
| 1998-12 | 1.6523 | 1.6547 | 0.3038 |
| 1999-01 | 1.6526 | 1.6917 | 0.1341 |
| 1999-02 | 1.7477 | 1.6497 | 0.3980 |
| 1999-03 | 1.6542 | 1.5927 | 0.1102 |
| 1999-04 | 1.6281 | 2.0515 | 0.3622 |
| 1999-05 | 1.6294 | 1.5987 | 0.3951 |
| 1999-06 | 1.5640 | 1.7450 | 0.3876 |
| 1999-07 | 1.3769 | 1.5224 | 0.1811 |
| 1999-08 | 1.6321 | 1.5941 | 0.4208 |
| 1999-09 | 1.5987 | 1.5230 | 0.3855 |
| 1999-10 | 1.8768 | 1.8290 | 0.2842 |
| 1999-11 | 1.2779 | 1.7371 | -0.0817 |
| 1999-12 | 1.2063 | 1.8036 | 0.1367 |
| 2000-01 | 1.9882 | 2.1277 | 0.3430 |
| 2000-02 | 1.6471 | 1.9364 | 0.3564 |
| 2000-03 | 2.0974 | 2.2429 | 0.0586 |
| 2000-04 | 2.3264 | 2.3848 | 0.3724 |
| 2000-05 | 2.0857 | 2.1206 | 0.4266 |
| 2000-06 | 1.6652 | 2.0755 | -0.0328 |
| 2000-07 | 1.6694 | 2.0293 | 0.1737 |
| 2000-08 | 1.2084 | 1.7901 | -0.1629 |
| 2000-09 | 1.5173 | 2.0191 | -0.2647 |
| 2000-10 | 2.1561 | 2.3691 | -0.2628 |
| 2000-11 | 1.9459 | 2.1873 | -0.1156 |
| 2000-12 | 2.1368 | 2.2767 | -0.0138 |
| 2001-01 | 2.0664 | 2.4431 | 0.6297 |
| 2001-02 | 1.6883 | 2.0423 | 0.1402 |
| 2001-03 | 2.1383 | 2.1808 | 0.2510 |
| 2001-04 | 2.1997 | 2.2087 | 0.5308 |
| 2001-05 | 1.6444 | 1.7609 | 0.3490 |
| 2001-06 | 1.3946 | 1.6778 | 0.0141 |
| 2001-07 | 1.6823 | 1.7737 | -0.0233 |
| 2001-08 | 1.5236 | 1.5740 | 0.0866 |
| 2001-09 | 2.1605 | 1.9284 | 0.4488 |
| 2001-10 | 1.7660 | 1.8796 | 0.1525 |
| 2001-11 | 1.5116 | 1.5752 | 0.8213 |
| 2001-12 | 1.4591 | 1.5339 | 0.7459 |
| 2002-01 | 1.5079 | 1.6071 | 0.4256 |
| 2002-02 | 1.6312 | 1.5199 | 0.1042 |
| 2002-03 | 1.4912 | 1.5114 | 0.3657 |
| 2002-04 | 1.5714 | 1.6163 | -0.0462 |
| 2002-05 | 1.8369 | 1.7469 | 0.2759 |
| 2002-06 | 1.8006 | 1.6530 | 0.3649 |
| 2002-07 | 2.4799 | 2.0614 | 0.5179 |
| 2002-08 | 2.2383 | 1.7161 | 0.6442 |
| 2002-09 | 2.1179 | 1.6615 | 0.4313 |
| 2002-10 | 2.3530 | 2.0279 | 0.6189 |
| 2002-11 | 1.8808 | 1.7569 | 0.7473 |
| 2002-12 | 1.6256 | 1.4132 | 0.1070 |
| 2003-01 | 1.9160 | 1.5086 | 0.5815 |
| 2003-02 | 1.5674 | 1.1762 | 0.0376 |
| 2003-03 | 2.0063 | 1.3557 | 0.4082 |
| 2003-04 | 1.6745 | 1.4086 | 0.0702 |
| 2003-05 | 1.5343 | 1.2207 | 0.2922 |
| 2003-06 | 1.4902 | 1.1635 | 0.4935 |
| 2003-07 | 1.4885 | 1.2607 | 0.6368 |
| 2003-08 | 1.1519 | 1.0839 | 0.7039 |
| 2003-09 | 1.4750 | 1.2131 | 0.6457 |
| 2003-10 | 1.3432 | 1.1360 | 0.5798 |
| 2003-11 | 1.1619 | 1.0676 | 0.3266 |
| 2003-12 | 1.1432 | 1.0311 | 0.3056 |
| 2004-01 | 1.0905 | 1.2040 | 0.4514 |
| 2004-02 | 0.9775 | 1.0391 | -0.1455 |
| 2004-03 | 1.5219 | 1.0482 | 0.3565 |
| 2004-04 | 1.2842 | 1.2301 | 0.5215 |
| 2004-05 | 1.2183 | 1.0722 | 0.2614 |
| 2004-06 | 1.0519 | 0.9854 | 0.3506 |
| 2004-07 | 1.1407 | 1.2299 | 0.2381 |
| 2004-08 | 1.3861 | 1.1060 | 0.1272 |
| 2004-09 | 0.9935 | 1.0891 | 0.1488 |
| 2004-10 | 1.2607 | 1.2629 | 0.0465 |
| 2004-11 | 1.0517 | 1.0457 | 0.1136 |
| 2004-12 | 0.9986 | 0.9945 | 0.2251 |
| 2005-01 | 1.1210 | 0.9305 | -0.3061 |
| 2005-02 | 1.0800 | 0.9813 | 0.0135 |
| 2005-03 | 1.0287 | 1.0606 | 0.2536 |
| 2005-04 | 1.4600 | 1.2452 | -0.0015 |
| 2005-05 | 1.0981 | 1.0351 | -0.1302 |
| 2005-06 | 0.8645 | 0.9112 | 0.1850 |
| 2005-07 | 0.9667 | 0.9883 | 0.1770 |
| 2005-08 | 0.9915 | 0.9624 | 0.1077 |
| 2005-09 | 0.9520 | 1.0954 | -0.0724 |
| 2005-10 | 1.4956 | 1.3273 | -0.1084 |
| 2005-11 | 0.8922 | 1.1309 | 0.0703 |
| 2005-12 | 0.7787 | 0.8955 | 0.0121 |
| 2006-01 | 1.1238 | 1.1034 | -0.2486 |
| 2006-02 | 0.9458 | 1.0655 | -0.4106 |
| 2006-03 | 0.8812 | 0.9609 | 0.0320 |
| 2006-04 | 0.8795 | 1.1087 | -0.1330 |
| 2006-05 | 1.3376 | 1.1245 | -0.0722 |
| 2006-06 | 1.6053 | 1.2032 | -0.0229 |
| 2006-07 | 1.4477 | 1.2242 | -0.2156 |
| 2006-08 | 0.8939 | 1.1557 | -0.4566 |
| 2006-09 | 0.8841 | 1.1989 | -0.2557 |
| 2006-10 | 0.8451 | 1.1348 | -0.1635 |
| 2006-11 | 0.9635 | 1.0776 | -0.0928 |
| 2006-12 | 0.6688 | 0.7889 | -0.1646 |
| 2007-01 | 0.8016 | 1.1328 | -0.3292 |
| 2007-02 | 1.3375 | 0.8029 | -0.0286 |
| 2007-03 | 1.3878 | 0.8212 | -0.3594 |
| 2007-04 | 0.8796 | 0.8429 | -0.3290 |
| 2007-05 | 1.0015 | 0.8410 | -0.5462 |
| 2007-06 | 1.3265 | 0.8064 | 0.2621 |
| 2007-07 | 1.5739 | 1.0260 | 0.2336 |
| 2007-08 | 1.9402 | 1.3768 | 0.0063 |
| 2007-09 | 1.4519 | 0.9226 | 0.1814 |
| 2007-10 | 1.4177 | 1.2320 | 0.1042 |
| 2007-11 | 1.9933 | 1.5850 | 0.4094 |
| 2007-12 | 1.5790 | 1.1651 | 0.5424 |
| 2008-01 | 1.9161 | 1.8047 | 0.5350 |
| 2008-02 | 1.7290 | 1.4724 | 0.6945 |
| 2008-03 | 2.0650 | 1.7358 | 0.7054 |
| 2008-04 | 1.6519 | 1.5913 | 0.3662 |
| 2008-05 | 1.3546 | 1.4470 | 0.3855 |
| 2008-06 | 1.7421 | 1.6212 | 0.4600 |
| 2008-07 | 1.8747 | 2.2010 | 0.4372 |
| 2008-08 | 1.7288 | 1.7593 | 0.1615 |
| 2008-09 | 2.6946 | 2.2342 | 0.9718 |
| 2008-10 | 3.1632 | 2.4605 | 0.9265 |
| 2008-11 | 2.9410 | 2.1775 | 1.0314 |
| 2008-12 | 2.6531 | 2.0667 | 0.9131 |
| 2009-01 | 2.4077 | 2.1678 | 0.8237 |
| 2009-02 | 2.2626 | 1.9372 | 0.9119 |
| 2009-03 | 2.6532 | 2.2175 | 1.1342 |
| 2009-04 | 2.1535 | 2.0470 | 0.5860 |
| 2009-05 | 2.0570 | 1.9159 | 0.7342 |
| 2009-06 | 1.7894 | 1.5628 | 0.8695 |
| 2009-07 | 1.8210 | 1.4397 | 0.7726 |
| 2009-08 | 1.5640 | 1.3275 | 0.5587 |
| 2009-09 | 1.4855 | 1.2569 | 0.3294 |
| 2009-10 | 1.8437 | 1.3541 | 0.5671 |
| 2009-11 | 1.5205 | 1.0673 | -0.0058 |
| 2009-12 | 1.1378 | 0.9947 | 0.3362 |
| 2010-01 | 1.4818 | 1.2314 | 0.1306 |
| 2010-02 | 1.5733 | 1.0096 | 0.1773 |
| 2010-03 | 1.0048 | 0.9296 | 0.0770 |
| 2010-04 | 1.4327 | 1.1585 | 0.2633 |
| 2010-05 | 2.2188 | 1.2229 | 0.5185 |
| 2010-06 | 2.0382 | 1.2523 | 0.4906 |
| 2010-07 | 1.7993 | 1.1567 | 0.1974 |
| 2010-08 | 1.6885 | 1.0211 | 0.5378 |
| 2010-09 | 1.6117 | 0.9690 | 0.5435 |
| 2010-10 | 1.2267 | 1.0731 | 0.1931 |
| 2010-11 | 1.4376 | 1.0690 | 0.6496 |
| 2010-12 | 1.0559 | 0.8471 | 0.8792 |
| 2011-01 | 1.1370 | 1.1456 | 0.3968 |
| 2011-02 | 1.2623 | 1.0699 | 0.1805 |
| 2011-03 | 1.5797 | 1.0363 | 0.2867 |
| 2011-04 | 0.9776 | 1.0156 | -0.1060 |
| 2011-05 | 1.1933 | 1.0260 | -0.1803 |
| 2011-06 | 1.5947 | 1.0426 | 0.4764 |
| 2011-07 | 1.5000 | 1.0173 | 0.4551 |
| 2011-08 | 2.6763 | 1.5415 | 0.9224 |
| 2011-09 | 2.1584 | 1.4005 | 0.6834 |
| 2011-10 | 2.2052 | 1.5673 | 0.7865 |
| 2011-11 | 2.1993 | 1.2312 | 0.4321 |
| 2011-12 | 1.7178 | 1.1460 | 0.3266 |
| 2012-01 | 0.9758 | 1.0604 | 0.1688 |
| 2012-02 | 1.0157 | 0.9020 | 0.1700 |
| 2012-03 | 1.2820 | 1.0150 | 0.3553 |
| 2012-04 | 1.4478 | 1.1016 | 0.1667 |
| 2012-05 | 1.3983 | 1.0957 | 0.0615 |
| 2012-06 | 1.8001 | 1.1032 | 0.3447 |
Figure 2 Data: Common Volatility Factor
| Date | Volatility Factor |
|---|---|
| Jan-1985 | 4.3466 |
| Feb-1985 | 3.4726 |
| Mar-1985 | 3.8199 |
| Apr-1985 | 3.2543 |
| May-1985 | 3.9027 |
| Jun-1985 | 3.4039 |
| Jul-1985 | 4.2180 |
| Aug-1985 | 2.4941 |
| Sep-1985 | 3.5658 |
| Oct-1985 | 4.1899 |
| Nov-1985 | 3.3137 |
| Dec-1985 | 4.7691 |
| Jan-1986 | 4.8466 |
| Feb-1986 | 4.6698 |
| Mar-1986 | 4.6715 |
| Apr-1986 | 5.1009 |
| May-1986 | 4.4358 |
| Jun-1986 | 4.2105 |
| Jul-1986 | 5.5621 |
| Aug-1986 | 4.9125 |
| Sep-1986 | 5.8491 |
| Oct-1986 | 4.7610 |
| Nov-1986 | 4.2565 |
| Dec-1986 | 4.1260 |
| Jan-1987 | 5.6326 |
| Feb-1987 | 5.1994 |
| Mar-1987 | 5.0509 |
| Apr-1987 | 6.1655 |
| May-1987 | 5.5389 |
| Jun-1987 | 4.5899 |
| Jul-1987 | 4.2678 |
| Aug-1987 | 4.9386 |
| Sep-1987 | 4.9024 |
| Oct-1987 | 10.4994 |
| Nov-1987 | 6.9535 |
| Dec-1987 | 7.3459 |
| Jan-1988 | 7.2796 |
| Feb-1988 | 5.5751 |
| Mar-1988 | 5.3071 |
| Apr-1988 | 5.0767 |
| May-1988 | 4.9546 |
| Jun-1988 | 5.4479 |
| Jul-1988 | 4.5459 |
| Aug-1988 | 4.4830 |
| Sep-1988 | 4.5991 |
| Oct-1988 | 5.3729 |
| Nov-1988 | 4.1894 |
| Dec-1988 | 3.4726 |
| Jan-1989 | 3.6359 |
| Feb-1989 | 3.5997 |
| Mar-1989 | 4.4160 |
| Apr-1989 | 3.7868 |
| May-1989 | 4.0533 |
| Jun-1989 | 5.0089 |
| Jul-1989 | 4.3030 |
| Aug-1989 | 4.4900 |
| Sep-1989 | 3.6620 |
| Oct-1989 | 5.8014 |
| Nov-1989 | 4.2026 |
| Dec-1989 | 4.6170 |
| Jan-1990 | 5.3354 |
| Feb-1990 | 4.0815 |
| Mar-1990 | 4.0916 |
| Apr-1990 | 3.9256 |
| May-1990 | 4.1855 |
| Jun-1990 | 4.4931 |
| Jul-1990 | 5.2212 |
| Aug-1990 | 7.4626 |
| Sep-1990 | 5.8501 |
| Oct-1990 | 6.9057 |
| Nov-1990 | 5.5363 |
| Dec-1990 | 4.9625 |
| Jan-1991 | 6.2029 |
| Feb-1991 | 5.7918 |
| Mar-1991 | 5.3063 |
| Apr-1991 | 4.8540 |
| May-1991 | 4.9261 |
| Jun-1991 | 4.0491 |
| Jul-1991 | 4.3113 |
| Aug-1991 | 4.6097 |
| Sep-1991 | 3.4913 |
| Oct-1991 | 4.7940 |
| Nov-1991 | 4.9264 |
| Dec-1991 | 5.6085 |
| Jan-1992 | 5.9933 |
| Feb-1992 | 4.2968 |
| Mar-1992 | 3.3363 |
| Apr-1992 | 5.3264 |
| May-1992 | 4.0911 |
| Jun-1992 | 4.3272 |
| Jul-1992 | 3.9681 |
| Aug-1992 | 2.9789 |
| Sep-1992 | 3.7844 |
| Oct-1992 | 3.8783 |
| Nov-1992 | 3.4275 |
| Dec-1992 | 3.0638 |
| Jan-1993 | 3.6929 |
| Feb-1993 | 4.8716 |
| Mar-1993 | 3.8711 |
| Apr-1993 | 5.0079 |
| May-1993 | 3.4633 |
| Jun-1993 | 3.4617 |
| Jul-1993 | 2.9401 |
| Aug-1993 | 2.8861 |
| Sep-1993 | 3.1008 |
| Oct-1993 | 3.2664 |
| Nov-1993 | 3.2466 |
| Dec-1993 | 1.7206 |
| Jan-1994 | 2.6885 |
| Feb-1994 | 2.7173 |
| Mar-1994 | 3.6041 |
| Apr-1994 | 4.8223 |
| May-1994 | 4.0050 |
| Jun-1994 | 3.7843 |
| Jul-1994 | 2.9672 |
| Aug-1994 | 3.2440 |
| Sep-1994 | 2.8892 |
| Oct-1994 | 3.6389 |
| Nov-1994 | 3.9463 |
| Dec-1994 | 3.8364 |
| Jan-1995 | 3.6653 |
| Feb-1995 | 2.8772 |
| Mar-1995 | 3.4347 |
| Apr-1995 | 2.7456 |
| May-1995 | 3.8360 |
| Jun-1995 | 3.5659 |
| Jul-1995 | 4.4025 |
| Aug-1995 | 2.9789 |
| Sep-1995 | 3.1168 |
| Oct-1995 | 3.9343 |
| Nov-1995 | 3.5673 |
| Dec-1995 | 3.7129 |
| Jan-1996 | 4.6580 |
| Feb-1996 | 3.5040 |
| Mar-1996 | 5.0169 |
| Apr-1996 | 4.2590 |
| May-1996 | 3.6422 |
| Jun-1996 | 3.4042 |
| Jul-1996 | 5.6568 |
| Aug-1996 | 4.3211 |
| Sep-1996 | 3.6658 |
| Oct-1996 | 3.9482 |
| Nov-1996 | 3.5860 |
| Dec-1996 | 4.7570 |
| Jan-1997 | 4.5435 |
| Feb-1997 | 4.7278 |
| Mar-1997 | 5.4324 |
| Apr-1997 | 5.9464 |
| May-1997 | 5.0826 |
| Jun-1997 | 4.8797 |
| Jul-1997 | 5.1085 |
| Aug-1997 | 4.8412 |
| Sep-1997 | 4.9135 |
| Oct-1997 | 6.8195 |
| Nov-1997 | 5.5806 |
| Dec-1997 | 6.3299 |
| Jan-1998 | 6.3147 |
| Feb-1998 | 4.6706 |
| Mar-1998 | 5.4557 |
| Apr-1998 | 5.6890 |
| May-1998 | 4.4911 |
| Jun-1998 | 5.3307 |
| Jul-1998 | 5.4044 |
| Aug-1998 | 7.0045 |
| Sep-1998 | 7.9888 |
| Oct-1998 | 8.5408 |
| Nov-1998 | 5.9475 |
| Dec-1998 | 6.7130 |
| Jan-1999 | 6.7057 |
| Feb-1999 | 6.5995 |
| Mar-1999 | 6.2974 |
| Apr-1999 | 7.7440 |
| May-1999 | 5.9354 |
| Jun-1999 | 6.4092 |
| Jul-1999 | 5.3760 |
| Aug-1999 | 5.9087 |
| Sep-1999 | 5.7378 |
| Oct-1999 | 7.1141 |
| Nov-1999 | 6.1062 |
| Dec-1999 | 5.9635 |
| Jan-2000 | 7.5852 |
| Feb-2000 | 6.5901 |
| Mar-2000 | 7.9759 |
| Apr-2000 | 8.6974 |
| May-2000 | 7.6125 |
| Jun-2000 | 7.0226 |
| Jul-2000 | 6.7335 |
| Aug-2000 | 5.3379 |
| Sep-2000 | 6.2451 |
| Oct-2000 | 7.9622 |
| Nov-2000 | 7.1926 |
| Dec-2000 | 7.7425 |
| Jan-2001 | 8.3388 |
| Feb-2001 | 6.4825 |
| Mar-2001 | 7.4434 |
| Apr-2001 | 7.7988 |
| May-2001 | 5.8771 |
| Jun-2001 | 5.4160 |
| Jul-2001 | 6.0360 |
| Aug-2001 | 5.3315 |
| Sep-2001 | 7.3464 |
| Oct-2001 | 6.9224 |
| Nov-2001 | 5.6939 |
| Dec-2001 | 5.5598 |
| Jan-2002 | 5.8567 |
| Feb-2002 | 5.6810 |
| Mar-2002 | 5.6617 |
| Apr-2002 | 6.0643 |
| May-2002 | 6.7888 |
| Jun-2002 | 6.5061 |
| Jul-2002 | 8.6698 |
| Aug-2002 | 7.4711 |
| Sep-2002 | 7.3818 |
| Oct-2002 | 8.9719 |
| Nov-2002 | 7.5556 |
| Dec-2002 | 6.0109 |
| Jan-2003 | 6.7292 |
| Feb-2003 | 5.3581 |
| Mar-2003 | 6.6043 |
| Apr-2003 | 6.5933 |
| May-2003 | 5.7860 |
| Jun-2003 | 5.5899 |
| Jul-2003 | 5.9440 |
| Aug-2003 | 4.9607 |
| Sep-2003 | 5.6281 |
| Oct-2003 | 5.2468 |
| Nov-2003 | 4.7914 |
| Dec-2003 | 4.5874 |
| Jan-2004 | 5.0621 |
| Feb-2004 | 4.1565 |
| Mar-2004 | 4.7679 |
| Apr-2004 | 5.3638 |
| May-2004 | 4.6713 |
| Jun-2004 | 4.2347 |
| Jul-2004 | 5.0782 |
| Aug-2004 | 4.7927 |
| Sep-2004 | 4.4296 |
| Oct-2004 | 5.1410 |
| Nov-2004 | 4.1524 |
| Dec-2004 | 3.9382 |
| Jan-2005 | 3.8207 |
| Feb-2005 | 4.0904 |
| Mar-2005 | 4.3395 |
| Apr-2005 | 5.3127 |
| May-2005 | 4.2834 |
| Jun-2005 | 3.6521 |
| Jul-2005 | 3.9665 |
| Aug-2005 | 3.8726 |
| Sep-2005 | 4.2396 |
| Oct-2005 | 5.4561 |
| Nov-2005 | 4.2258 |
| Dec-2005 | 3.1789 |
| Jan-2006 | 4.1922 |
| Feb-2006 | 3.8875 |
| Mar-2006 | 3.4776 |
| Apr-2006 | 3.9382 |
| May-2006 | 4.3982 |
| Jun-2006 | 5.1376 |
| Jul-2006 | 5.2386 |
| Aug-2006 | 4.4251 |
| Sep-2006 | 4.3281 |
| Oct-2006 | 3.8765 |
| Nov-2006 | 3.7092 |
| Dec-2006 | 2.4805 |
| Jan-2007 | 3.7696 |
| Feb-2007 | 3.2155 |
| Mar-2007 | 3.7787 |
| Apr-2007 | 3.6419 |
| May-2007 | 3.6902 |
| Jun-2007 | 4.0660 |
| Jul-2007 | 5.2987 |
| Aug-2007 | 6.9614 |
| Sep-2007 | 5.0502 |
| Oct-2007 | 6.0953 |
| Nov-2007 | 7.7092 |
| Dec-2007 | 5.8647 |
| Jan-2008 | 8.3100 |
| Feb-2008 | 6.7888 |
| Mar-2008 | 7.9561 |
| Apr-2008 | 6.9542 |
| May-2008 | 5.9932 |
| Jun-2008 | 6.8003 |
| Jul-2008 | 8.7417 |
| Aug-2008 | 6.7346 |
| Sep-2008 | 9.3746 |
| Oct-2008 | 10.8048 |
| Nov-2008 | 9.9115 |
| Dec-2008 | 9.4928 |
| Jan-2009 | 9.6351 |
| Feb-2009 | 8.6000 |
| Mar-2009 | 9.9402 |
| Apr-2009 | 8.7837 |
| May-2009 | 8.1047 |
| Jun-2009 | 6.6245 |
| Jul-2009 | 6.3265 |
| Aug-2009 | 5.8217 |
| Sep-2009 | 5.5331 |
| Oct-2009 | 6.3111 |
| Nov-2009 | 5.1472 |
| Dec-2009 | 4.6723 |
| Jan-2010 | 5.7276 |
| Feb-2010 | 5.1056 |
| Mar-2010 | 4.4134 |
| Apr-2010 | 5.5146 |
| May-2010 | 6.6205 |
| Jun-2010 | 6.9273 |
| Jul-2010 | 6.4960 |
| Aug-2010 | 6.0326 |
| Sep-2010 | 5.8685 |
| Oct-2010 | 5.7834 |
| Nov-2010 | 5.7791 |
| Dec-2010 | 4.6085 |
| Jan-2011 | 5.4949 |
| Feb-2011 | 5.1025 |
| Mar-2011 | 5.3003 |
| Apr-2011 | 4.6854 |
| May-2011 | 4.7234 |
| Jun-2011 | 5.2554 |
| Jul-2011 | 5.2756 |
| Aug-2011 | 8.4285 |
| Sep-2011 | 7.7590 |
| Oct-2011 | 8.4285 |
| Nov-2011 | 7.2712 |
| Dec-2011 | 6.6700 |
| Jan-2012 | 5.4828 |
| Feb-2012 | 4.5970 |
| Mar-2012 | 5.1127 |
| Apr-2012 | 5.5082 |
| May-2012 | 5.4166 |
| Jun-2012 | 5.8937 |
Figure 3 Data: Smoothed Probabilities of Volatility Regimes
| Date | Panel a | Panel b | Panel c |
|---|---|---|---|
| 1985-01 | 0.9396 | 0.0601 | 0.0002 |
| 1985-02 | 0.9897 | 0.0103 | 0.0000 |
| 1985-03 | 0.9967 | 0.0032 | 0.0000 |
| 1985-04 | 0.9995 | 0.0005 | 0.0000 |
| 1985-05 | 0.9992 | 0.0008 | 0.0000 |
| 1985-06 | 0.9997 | 0.0003 | 0.0000 |
| 1985-07 | 0.9986 | 0.0014 | 0.0000 |
| 1985-08 | 1.0000 | 0.0000 | 0.0000 |
| 1985-09 | 0.9969 | 0.0031 | 0.0000 |
| 1985-10 | 0.9875 | 0.0125 | 0.0000 |
| 1985-11 | 0.9790 | 0.0208 | 0.0002 |
| 1985-12 | 0.7822 | 0.2176 | 0.0001 |
| 1986-01 | 0.7346 | 0.2644 | 0.0010 |
| 1986-02 | 0.7005 | 0.2982 | 0.0013 |
| 1986-03 | 0.6428 | 0.3555 | 0.0017 |
| 1986-04 | 0.5671 | 0.4303 | 0.0026 |
| 1986-05 | 0.5441 | 0.4532 | 0.0027 |
| 1986-06 | 0.4743 | 0.5218 | 0.0039 |
| 1986-07 | 0.3576 | 0.6323 | 0.0101 |
| 1986-08 | 0.3349 | 0.6599 | 0.0051 |
| 1986-09 | 0.2726 | 0.7173 | 0.0101 |
| 1986-10 | 0.2976 | 0.6981 | 0.0043 |
| 1986-11 | 0.2701 | 0.7248 | 0.0051 |
| 1986-12 | 0.2280 | 0.7653 | 0.0067 |
| 1987-01 | 0.1274 | 0.8526 | 0.0201 |
| 1987-02 | 0.1054 | 0.8865 | 0.0080 |
| 1987-03 | 0.0693 | 0.9207 | 0.0100 |
| 1987-04 | 0.0445 | 0.9254 | 0.0301 |
| 1987-05 | 0.0540 | 0.9352 | 0.0108 |
| 1987-06 | 0.0729 | 0.9205 | 0.0066 |
| 1987-07 | 0.0670 | 0.9229 | 0.0101 |
| 1987-08 | 0.0194 | 0.9412 | 0.0394 |
| 1987-09 | 0.0000 | 0.8254 | 0.1746 |
| 1987-10 | 0.0000 | 0.0000 | 1.0000 |
| 1987-11 | 0.0000 | 0.2242 | 0.7758 |
| 1987-12 | 0.0000 | 0.1956 | 0.8044 |
| 1988-01 | 0.0006 | 0.3956 | 0.6038 |
| 1988-02 | 0.0287 | 0.8765 | 0.0948 |
| 1988-03 | 0.0705 | 0.9092 | 0.0203 |
| 1988-04 | 0.1413 | 0.8506 | 0.0081 |
| 1988-05 | 0.2303 | 0.7657 | 0.0040 |
| 1988-06 | 0.3279 | 0.6691 | 0.0029 |
| 1988-07 | 0.6455 | 0.3530 | 0.0015 |
| 1988-08 | 0.7633 | 0.2359 | 0.0008 |
| 1988-09 | 0.8419 | 0.1575 | 0.0005 |
| 1988-10 | 0.8950 | 0.1046 | 0.0005 |
| 1988-11 | 0.9665 | 0.0335 | 0.0000 |
| 1988-12 | 0.9964 | 0.0036 | 0.0000 |
| 1989-01 | 0.9981 | 0.0019 | 0.0000 |
| 1989-02 | 0.9985 | 0.0015 | 0.0000 |
| 1989-03 | 0.9978 | 0.0022 | 0.0000 |
| 1989-04 | 0.9988 | 0.0011 | 0.0000 |
| 1989-05 | 0.9967 | 0.0033 | 0.0000 |
| 1989-06 | 0.9914 | 0.0086 | 0.0000 |
| 1989-07 | 0.9951 | 0.0049 | 0.0000 |
| 1989-08 | 0.9944 | 0.0056 | 0.0000 |
| 1989-09 | 0.9942 | 0.0058 | 0.0000 |
| 1989-10 | 0.9692 | 0.0306 | 0.0001 |
| 1989-11 | 0.9866 | 0.0133 | 0.0001 |
| 1989-12 | 0.9810 | 0.0189 | 0.0001 |
| 1990-01 | 0.9747 | 0.0252 | 0.0001 |
| 1990-02 | 0.9844 | 0.0155 | 0.0001 |
| 1990-03 | 0.9777 | 0.0222 | 0.0001 |
| 1990-04 | 0.9510 | 0.0487 | 0.0003 |
| 1990-05 | 0.8262 | 0.1729 | 0.0009 |
| 1990-06 | 0.5046 | 0.4901 | 0.0053 |
| 1990-07 | 0.0421 | 0.8900 | 0.0680 |
| 1990-08 | 0.0014 | 0.2629 | 0.7357 |
| 1990-09 | 0.0013 | 0.6300 | 0.3687 |
| 1990-10 | 0.0009 | 0.6368 | 0.3623 |
| 1990-11 | 0.0066 | 0.8970 | 0.0964 |
| 1990-12 | 0.0129 | 0.9584 | 0.0287 |
| 1991-01 | 0.0140 | 0.9389 | 0.0471 |
| 1991-02 | 0.0565 | 0.9303 | 0.0132 |
| 1991-03 | 0.2022 | 0.7939 | 0.0039 |
| 1991-04 | 0.4377 | 0.5603 | 0.0021 |
| 1991-05 | 0.6099 | 0.3891 | 0.0010 |
| 1991-06 | 0.8222 | 0.1768 | 0.0010 |
| 1991-07 | 0.8589 | 0.1405 | 0.0006 |
| 1991-08 | 0.8783 | 0.1213 | 0.0004 |
| 1991-09 | 0.9238 | 0.0754 | 0.0008 |
| 1991-10 | 0.9032 | 0.0961 | 0.0007 |
| 1991-11 | 0.8960 | 0.1033 | 0.0007 |
| 1991-12 | 0.9024 | 0.0968 | 0.0008 |
| 1992-01 | 0.9361 | 0.0635 | 0.0004 |
| 1992-02 | 0.9847 | 0.0152 | 0.0001 |
| 1992-03 | 0.9938 | 0.0061 | 0.0001 |
| 1992-04 | 0.9873 | 0.0126 | 0.0000 |
| 1992-05 | 0.9979 | 0.0021 | 0.0000 |
| 1992-06 | 0.9986 | 0.0014 | 0.0000 |
| 1992-07 | 0.9995 | 0.0005 | 0.0000 |
| 1992-08 | 1.0000 | 0.0000 | 0.0000 |
| 1992-09 | 0.9996 | 0.0004 | 0.0000 |
| 1992-10 | 0.9997 | 0.0003 | 0.0000 |
| 1992-11 | 0.9999 | 0.0001 | 0.0000 |
| 1992-12 | 0.9997 | 0.0003 | 0.0000 |
| 1993-01 | 0.9951 | 0.0049 | 0.0000 |
| 1993-02 | 0.9891 | 0.0108 | 0.0000 |
| 1993-03 | 0.9953 | 0.0047 | 0.0000 |
| 1993-04 | 0.9931 | 0.0069 | 0.0000 |
| 1993-05 | 0.9996 | 0.0004 | 0.0000 |
| 1993-06 | 0.9999 | 0.0001 | 0.0000 |
| 1993-07 | 1.0000 | 0.0000 | 0.0000 |
| 1993-08 | 0.9999 | 0.0001 | 0.0000 |
| 1993-09 | 0.9999 | 0.0001 | 0.0000 |
| 1993-10 | 0.9997 | 0.0003 | 0.0000 |
| 1993-11 | 0.9999 | 0.0001 | 0.0000 |
| 1993-12 | 1.0000 | 0.0000 | 0.0000 |
| 1994-01 | 0.9999 | 0.0001 | 0.0000 |
| 1994-02 | 0.9999 | 0.0001 | 0.0000 |
| 1994-03 | 0.9982 | 0.0018 | 0.0000 |
| 1994-04 | 0.9943 | 0.0057 | 0.0000 |
| 1994-05 | 0.9987 | 0.0013 | 0.0000 |
| 1994-06 | 0.9996 | 0.0004 | 0.0000 |
| 1994-07 | 1.0000 | 0.0000 | 0.0000 |
| 1994-08 | 0.9999 | 0.0001 | 0.0000 |
| 1994-09 | 1.0000 | 0.0000 | 0.0000 |
| 1994-10 | 0.9996 | 0.0004 | 0.0000 |
| 1994-11 | 0.9994 | 0.0006 | 0.0000 |
| 1994-12 | 0.9996 | 0.0004 | 0.0000 |
| 1995-01 | 0.9997 | 0.0003 | 0.0000 |
| 1995-02 | 1.0000 | 0.0000 | 0.0000 |
| 1995-03 | 0.9997 | 0.0003 | 0.0000 |
| 1995-04 | 0.9999 | 0.0001 | 0.0000 |
| 1995-05 | 0.9989 | 0.0011 | 0.0000 |
| 1995-06 | 0.9993 | 0.0007 | 0.0000 |
| 1995-07 | 0.9979 | 0.0021 | 0.0000 |
| 1995-08 | 0.9999 | 0.0001 | 0.0000 |
| 1995-09 | 0.9998 | 0.0002 | 0.0000 |
| 1995-10 | 0.9988 | 0.0012 | 0.0000 |
| 1995-11 | 0.9995 | 0.0005 | 0.0000 |
| 1995-12 | 0.9990 | 0.0010 | 0.0000 |
| 1996-01 | 0.9967 | 0.0033 | 0.0000 |
| 1996-02 | 0.9989 | 0.0011 | 0.0000 |
| 1996-03 | 0.9942 | 0.0058 | 0.0000 |
| 1996-04 | 0.9985 | 0.0015 | 0.0000 |
| 1996-05 | 0.9995 | 0.0005 | 0.0000 |
| 1996-06 | 0.9987 | 0.0013 | 0.0000 |
| 1996-07 | 0.9812 | 0.0188 | 0.0000 |
| 1996-08 | 0.9966 | 0.0034 | 0.0000 |
| 1996-09 | 0.9982 | 0.0018 | 0.0000 |
| 1996-10 | 0.9924 | 0.0076 | 0.0000 |
| 1996-11 | 0.9718 | 0.0282 | 0.0001 |
| 1996-12 | 0.7207 | 0.2792 | 0.0002 |
| 1997-01 | 0.6063 | 0.3923 | 0.0014 |
| 1997-02 | 0.3951 | 0.6023 | 0.0026 |
| 1997-03 | 0.1637 | 0.8293 | 0.0070 |
| 1997-04 | 0.0867 | 0.9008 | 0.0126 |
| 1997-05 | 0.0748 | 0.9184 | 0.0068 |
| 1997-06 | 0.0569 | 0.9378 | 0.0053 |
| 1997-07 | 0.0340 | 0.9597 | 0.0063 |
| 1997-08 | 0.0182 | 0.9725 | 0.0093 |
| 1997-09 | 0.0075 | 0.9614 | 0.0311 |
| 1997-10 | 0.0005 | 0.8271 | 0.1725 |
| 1997-11 | 0.0012 | 0.9345 | 0.0643 |
| 1997-12 | 0.0006 | 0.9303 | 0.0691 |
| 1998-01 | 0.0016 | 0.9582 | 0.0402 |
| 1998-02 | 0.0116 | 0.9694 | 0.0190 |
| 1998-03 | 0.0062 | 0.9738 | 0.0200 |
| 1998-04 | 0.0051 | 0.9766 | 0.0183 |
| 1998-05 | 0.0083 | 0.9725 | 0.0192 |
| 1998-06 | 0.0019 | 0.9349 | 0.0632 |
| 1998-07 | 0.0002 | 0.7908 | 0.2091 |
| 1998-08 | 0.0000 | 0.1237 | 0.8763 |
| 1998-09 | 0.0000 | 0.0041 | 0.9959 |
| 1998-10 | 0.0000 | 0.0020 | 0.9980 |
| 1998-11 | 0.0000 | 0.3150 | 0.6850 |
| 1998-12 | 0.0000 | 0.2651 | 0.7348 |
| 1999-01 | 0.0000 | 0.3289 | 0.6711 |
| 1999-02 | 0.0000 | 0.3652 | 0.6348 |
| 1999-03 | 0.0000 | 0.3456 | 0.6544 |
| 1999-04 | 0.0000 | 0.1324 | 0.8676 |
| 1999-05 | 0.0001 | 0.7029 | 0.2970 |
| 1999-06 | 0.0001 | 0.7980 | 0.2019 |
| 1999-07 | 0.0009 | 0.9202 | 0.0789 |
| 1999-08 | 0.0003 | 0.9154 | 0.0843 |
| 1999-09 | 0.0002 | 0.8654 | 0.1343 |
| 1999-10 | 0.0000 | 0.6037 | 0.3962 |
| 1999-11 | 0.0001 | 0.7397 | 0.2602 |
| 1999-12 | 0.0000 | 0.6121 | 0.3879 |
| 2000-01 | 0.0000 | 0.0440 | 0.9560 |
| 2000-02 | 0.0000 | 0.0795 | 0.9205 |
| 2000-03 | 0.0000 | 0.0016 | 0.9984 |
| 2000-04 | 0.0000 | 0.0002 | 0.9998 |
| 2000-05 | 0.0000 | 0.0702 | 0.9298 |
| 2000-06 | 0.0000 | 0.2440 | 0.7560 |
| 2000-07 | 0.0000 | 0.4220 | 0.5780 |
| 2000-08 | 0.0004 | 0.5289 | 0.4707 |
| 2000-09 | 0.0000 | 0.2987 | 0.7013 |
| 2000-10 | 0.0000 | 0.0039 | 0.9961 |
| 2000-11 | 0.0000 | 0.0164 | 0.9836 |
| 2000-12 | 0.0000 | 0.0027 | 0.9973 |
| 2001-01 | 0.0000 | 0.0010 | 0.9990 |
| 2001-02 | 0.0000 | 0.0971 | 0.9029 |
| 2001-03 | 0.0000 | 0.0326 | 0.9674 |
| 2001-04 | 0.0000 | 0.0787 | 0.9213 |
| 2001-05 | 0.0001 | 0.7963 | 0.2037 |
| 2001-06 | 0.0005 | 0.9137 | 0.0858 |
| 2001-07 | 0.0002 | 0.8909 | 0.1089 |
| 2001-08 | 0.0005 | 0.8263 | 0.1732 |
| 2001-09 | 0.0000 | 0.4185 | 0.5815 |
| 2001-10 | 0.0001 | 0.6949 | 0.3050 |
| 2001-11 | 0.0011 | 0.9049 | 0.0940 |
| 2001-12 | 0.0010 | 0.9687 | 0.0304 |
| 2002-01 | 0.0005 | 0.9789 | 0.0205 |
| 2002-02 | 0.0006 | 0.9801 | 0.0193 |
| 2002-03 | 0.0004 | 0.9562 | 0.0433 |
| 2002-04 | 0.0001 | 0.8334 | 0.1665 |
| 2002-05 | 0.0000 | 0.5519 | 0.4481 |
| 2002-06 | 0.0000 | 0.3961 | 0.6039 |
| 2002-07 | 0.0000 | 0.0007 | 0.9993 |
| 2002-08 | 0.0000 | 0.0301 | 0.9699 |
| 2002-09 | 0.0000 | 0.0201 | 0.9799 |
| 2002-10 | 0.0000 | 0.0002 | 0.9998 |
| 2002-11 | 0.0000 | 0.2386 | 0.7614 |
| 2002-12 | 0.0001 | 0.6738 | 0.3261 |
| 2003-01 | 0.0001 | 0.7251 | 0.2747 |
| 2003-02 | 0.0015 | 0.8428 | 0.1557 |
| 2003-03 | 0.0002 | 0.8412 | 0.1586 |
| 2003-04 | 0.0004 | 0.9224 | 0.0773 |
| 2003-05 | 0.0032 | 0.9702 | 0.0266 |
| 2003-06 | 0.0066 | 0.9808 | 0.0126 |
| 2003-07 | 0.0133 | 0.9746 | 0.0121 |
| 2003-08 | 0.0523 | 0.9411 | 0.0066 |
| 2003-09 | 0.0705 | 0.9212 | 0.0083 |
| 2003-10 | 0.1649 | 0.8308 | 0.0042 |
| 2003-11 | 0.3072 | 0.6898 | 0.0030 |
| 2003-12 | 0.4094 | 0.5879 | 0.0027 |
| 2004-01 | 0.4786 | 0.5178 | 0.0036 |
| 2004-02 | 0.5630 | 0.4344 | 0.0025 |
| 2004-03 | 0.5745 | 0.4235 | 0.0021 |
| 2004-04 | 0.6505 | 0.3468 | 0.0027 |
| 2004-05 | 0.7596 | 0.2394 | 0.0010 |
| 2004-06 | 0.8383 | 0.1609 | 0.0007 |
| 2004-07 | 0.8675 | 0.1315 | 0.0010 |
| 2004-08 | 0.8962 | 0.1035 | 0.0003 |
| 2004-09 | 0.9486 | 0.0512 | 0.0002 |
| 2004-10 | 0.9631 | 0.0368 | 0.0001 |
| 2004-11 | 0.9870 | 0.0130 | 0.0000 |
| 2004-12 | 0.9941 | 0.0059 | 0.0000 |
| 2005-01 | 0.9961 | 0.0039 | 0.0000 |
| 2005-02 | 0.9961 | 0.0039 | 0.0000 |
| 2005-03 | 0.9944 | 0.0056 | 0.0000 |
| 2005-04 | 0.9910 | 0.0090 | 0.0000 |
| 2005-05 | 0.9981 | 0.0019 | 0.0000 |
| 2005-06 | 0.9996 | 0.0004 | 0.0000 |
| 2005-07 | 0.9993 | 0.0007 | 0.0000 |
| 2005-08 | 0.9987 | 0.0013 | 0.0000 |
| 2005-09 | 0.9944 | 0.0056 | 0.0000 |
| 2005-10 | 0.9878 | 0.0122 | 0.0000 |
| 2005-11 | 0.9982 | 0.0018 | 0.0000 |
| 2005-12 | 0.9998 | 0.0002 | 0.0000 |
| 2006-01 | 0.9991 | 0.0009 | 0.0000 |
| 2006-02 | 0.9996 | 0.0004 | 0.0000 |
| 2006-03 | 0.9997 | 0.0003 | 0.0000 |
| 2006-04 | 0.9970 | 0.0030 | 0.0000 |
| 2006-05 | 0.9915 | 0.0084 | 0.0000 |
| 2006-06 | 0.9849 | 0.0151 | 0.0000 |
| 2006-07 | 0.9879 | 0.0121 | 0.0000 |
| 2006-08 | 0.9972 | 0.0028 | 0.0000 |
| 2006-09 | 0.9988 | 0.0012 | 0.0000 |
| 2006-10 | 0.9997 | 0.0003 | 0.0000 |
| 2006-11 | 0.9998 | 0.0002 | 0.0000 |
| 2006-12 | 1.0000 | 0.0000 | 0.0000 |
| 2007-01 | 0.9992 | 0.0008 | 0.0000 |
| 2007-02 | 0.9999 | 0.0001 | 0.0000 |
| 2007-03 | 0.9992 | 0.0008 | 0.0000 |
| 2007-04 | 0.9958 | 0.0042 | 0.0000 |
| 2007-05 | 0.9652 | 0.0347 | 0.0001 |
| 2007-06 | 0.7512 | 0.2460 | 0.0027 |
| 2007-07 | 0.0722 | 0.8838 | 0.0439 |
| 2007-08 | 0.0046 | 0.4314 | 0.5640 |
| 2007-09 | 0.0034 | 0.4125 | 0.5841 |
| 2007-10 | 0.0001 | 0.2501 | 0.7498 |
| 2007-11 | 0.0000 | 0.0216 | 0.9784 |
| 2007-12 | 0.0000 | 0.1149 | 0.8851 |
| 2008-01 | 0.0000 | 0.0000 | 1.0000 |
| 2008-02 | 0.0000 | 0.0346 | 0.9654 |
| 2008-03 | 0.0000 | 0.0021 | 0.9979 |
| 2008-04 | 0.0000 | 0.0862 | 0.9138 |
| 2008-05 | 0.0000 | 0.1730 | 0.8270 |
| 2008-06 | 0.0000 | 0.0567 | 0.9433 |
| 2008-07 | 0.0000 | 0.0000 | 1.0000 |
| 2008-08 | 0.0000 | 0.0493 | 0.9507 |
| 2008-09 | 0.0000 | 0.0000 | 1.0000 |
| 2008-10 | 0.0000 | 0.0000 | 1.0000 |
| 2008-11 | 0.0000 | 0.0000 | 1.0000 |
| 2008-12 | 0.0000 | 0.0000 | 1.0000 |
| 2009-01 | 0.0000 | 0.0000 | 1.0000 |
| 2009-02 | 0.0000 | 0.0011 | 0.9989 |
| 2009-03 | 0.0000 | 0.0000 | 1.0000 |
| 2009-04 | 0.0000 | 0.0015 | 0.9985 |
| 2009-05 | 0.0000 | 0.0686 | 0.9314 |
| 2009-06 | 0.0000 | 0.7187 | 0.2813 |
| 2009-07 | 0.0003 | 0.9011 | 0.0986 |
| 2009-08 | 0.0011 | 0.9699 | 0.0289 |
| 2009-09 | 0.0021 | 0.9835 | 0.0145 |
| 2009-10 | 0.0028 | 0.9755 | 0.0217 |
| 2009-11 | 0.0191 | 0.9695 | 0.0114 |
| 2009-12 | 0.0213 | 0.9706 | 0.0082 |
| 2010-01 | 0.0127 | 0.9703 | 0.0170 |
| 2010-02 | 0.0149 | 0.9745 | 0.0106 |
| 2010-03 | 0.0165 | 0.9682 | 0.0153 |
| 2010-04 | 0.0034 | 0.9362 | 0.0603 |
| 2010-05 | 0.0001 | 0.8578 | 0.1421 |
| 2010-06 | 0.0001 | 0.8621 | 0.1379 |
| 2010-07 | 0.0002 | 0.9347 | 0.0651 |
| 2010-08 | 0.0007 | 0.9690 | 0.0302 |
| 2010-09 | 0.0010 | 0.9839 | 0.0151 |
| 2010-10 | 0.0015 | 0.9881 | 0.0104 |
| 2010-11 | 0.0032 | 0.9871 | 0.0096 |
| 2010-12 | 0.0106 | 0.9803 | 0.0091 |
| 2011-01 | 0.0063 | 0.9765 | 0.0172 |
| 2011-02 | 0.0062 | 0.9859 | 0.0079 |
| 2011-03 | 0.0057 | 0.9873 | 0.0070 |
| 2011-04 | 0.0090 | 0.9849 | 0.0061 |
| 2011-05 | 0.0057 | 0.9827 | 0.0116 |
| 2011-06 | 0.0011 | 0.9531 | 0.0458 |
| 2011-07 | 0.0000 | 0.8030 | 0.1970 |
| 2011-08 | 0.0000 | 0.0001 | 0.9999 |
| 2011-09 | 0.0000 | 0.0034 | 0.9966 |
| 2011-10 | 0.0000 | 0.0018 | 0.9982 |
| 2011-11 | 0.0000 | 0.4037 | 0.5963 |
| 2011-12 | 0.0002 | 0.7735 | 0.2262 |
| 2012-01 | 0.0036 | 0.9687 | 0.0277 |
| 2012-02 | 0.0080 | 0.9816 | 0.0104 |
| 2012-03 | 0.0046 | 0.9862 | 0.0092 |
| 2012-04 | 0.0031 | 0.9838 | 0.0130 |
| 2012-05 | 0.0043 | 0.9785 | 0.0171 |
| 2012-06 | 0.0079 | 0.9448 | 0.0473 |
Figure 3 Data: Smoothed Probabilities of Volatility Regimes
| Date | Panel a | Panel b | Panel c |
|---|---|---|---|
| 1985-01 | 0.9396 | 0.0601 | 0.0002 |
| 1985-02 | 0.9897 | 0.0103 | 0.0000 |
| 1985-03 | 0.9967 | 0.0032 | 0.0000 |
| 1985-04 | 0.9995 | 0.0005 | 0.0000 |
| 1985-05 | 0.9992 | 0.0008 | 0.0000 |
| 1985-06 | 0.9997 | 0.0003 | 0.0000 |
| 1985-07 | 0.9986 | 0.0014 | 0.0000 |
| 1985-08 | 1.0000 | 0.0000 | 0.0000 |
| 1985-09 | 0.9969 | 0.0031 | 0.0000 |
| 1985-10 | 0.9875 | 0.0125 | 0.0000 |
| 1985-11 | 0.9790 | 0.0208 | 0.0002 |
| 1985-12 | 0.7822 | 0.2176 | 0.0001 |
| 1986-01 | 0.7346 | 0.2644 | 0.0010 |
| 1986-02 | 0.7005 | 0.2982 | 0.0013 |
| 1986-03 | 0.6428 | 0.3555 | 0.0017 |
| 1986-04 | 0.5671 | 0.4303 | 0.0026 |
| 1986-05 | 0.5441 | 0.4532 | 0.0027 |
| 1986-06 | 0.4743 | 0.5218 | 0.0039 |
| 1986-07 | 0.3576 | 0.6323 | 0.0101 |
| 1986-08 | 0.3349 | 0.6599 | 0.0051 |
| 1986-09 | 0.2726 | 0.7173 | 0.0101 |
| 1986-10 | 0.2976 | 0.6981 | 0.0043 |
| 1986-11 | 0.2701 | 0.7248 | 0.0051 |
| 1986-12 | 0.2280 | 0.7653 | 0.0067 |
| 1987-01 | 0.1274 | 0.8526 | 0.0201 |
| 1987-02 | 0.1054 | 0.8865 | 0.0080 |
| 1987-03 | 0.0693 | 0.9207 | 0.0100 |
| 1987-04 | 0.0445 | 0.9254 | 0.0301 |
| 1987-05 | 0.0540 | 0.9352 | 0.0108 |
| 1987-06 | 0.0729 | 0.9205 | 0.0066 |
| 1987-07 | 0.0670 | 0.9229 | 0.0101 |
| 1987-08 | 0.0194 | 0.9412 | 0.0394 |
| 1987-09 | 0.0000 | 0.8254 | 0.1746 |
| 1987-10 | 0.0000 | 0.0000 | 1.0000 |
| 1987-11 | 0.0000 | 0.2242 | 0.7758 |
| 1987-12 | 0.0000 | 0.1956 | 0.8044 |
| 1988-01 | 0.0006 | 0.3956 | 0.6038 |
| 1988-02 | 0.0287 | 0.8765 | 0.0948 |
| 1988-03 | 0.0705 | 0.9092 | 0.0203 |
| 1988-04 | 0.1413 | 0.8506 | 0.0081 |
| 1988-05 | 0.2303 | 0.7657 | 0.0040 |
| 1988-06 | 0.3279 | 0.6691 | 0.0029 |
| 1988-07 | 0.6455 | 0.3530 | 0.0015 |
| 1988-08 | 0.7633 | 0.2359 | 0.0008 |
| 1988-09 | 0.8419 | 0.1575 | 0.0005 |
| 1988-10 | 0.8950 | 0.1046 | 0.0005 |
| 1988-11 | 0.9665 | 0.0335 | 0.0000 |
| 1988-12 | 0.9964 | 0.0036 | 0.0000 |
| 1989-01 | 0.9981 | 0.0019 | 0.0000 |
| 1989-02 | 0.9985 | 0.0015 | 0.0000 |
| 1989-03 | 0.9978 | 0.0022 | 0.0000 |
| 1989-04 | 0.9988 | 0.0011 | 0.0000 |
| 1989-05 | 0.9967 | 0.0033 | 0.0000 |
| 1989-06 | 0.9914 | 0.0086 | 0.0000 |
| 1989-07 | 0.9951 | 0.0049 | 0.0000 |
| 1989-08 | 0.9944 | 0.0056 | 0.0000 |
| 1989-09 | 0.9942 | 0.0058 | 0.0000 |
| 1989-10 | 0.9692 | 0.0306 | 0.0001 |
| 1989-11 | 0.9866 | 0.0133 | 0.0001 |
| 1989-12 | 0.9810 | 0.0189 | 0.0001 |
| 1990-01 | 0.9747 | 0.0252 | 0.0001 |
| 1990-02 | 0.9844 | 0.0155 | 0.0001 |
| 1990-03 | 0.9777 | 0.0222 | 0.0001 |
| 1990-04 | 0.9510 | 0.0487 | 0.0003 |
| 1990-05 | 0.8262 | 0.1729 | 0.0009 |
| 1990-06 | 0.5046 | 0.4901 | 0.0053 |
| 1990-07 | 0.0421 | 0.8900 | 0.0680 |
| 1990-08 | 0.0014 | 0.2629 | 0.7357 |
| 1990-09 | 0.0013 | 0.6300 | 0.3687 |
| 1990-10 | 0.0009 | 0.6368 | 0.3623 |
| 1990-11 | 0.0066 | 0.8970 | 0.0964 |
| 1990-12 | 0.0129 | 0.9584 | 0.0287 |
| 1991-01 | 0.0140 | 0.9389 | 0.0471 |
| 1991-02 | 0.0565 | 0.9303 | 0.0132 |
| 1991-03 | 0.2022 | 0.7939 | 0.0039 |
| 1991-04 | 0.4377 | 0.5603 | 0.0021 |
| 1991-05 | 0.6099 | 0.3891 | 0.0010 |
| 1991-06 | 0.8222 | 0.1768 | 0.0010 |
| 1991-07 | 0.8589 | 0.1405 | 0.0006 |
| 1991-08 | 0.8783 | 0.1213 | 0.0004 |
| 1991-09 | 0.9238 | 0.0754 | 0.0008 |
| 1991-10 | 0.9032 | 0.0961 | 0.0007 |
| 1991-11 | 0.8960 | 0.1033 | 0.0007 |
| 1991-12 | 0.9024 | 0.0968 | 0.0008 |
| 1992-01 | 0.9361 | 0.0635 | 0.0004 |
| 1992-02 | 0.9847 | 0.0152 | 0.0001 |
| 1992-03 | 0.9938 | 0.0061 | 0.0001 |
| 1992-04 | 0.9873 | 0.0126 | 0.0000 |
| 1992-05 | 0.9979 | 0.0021 | 0.0000 |
| 1992-06 | 0.9986 | 0.0014 | 0.0000 |
| 1992-07 | 0.9995 | 0.0005 | 0.0000 |
| 1992-08 | 1.0000 | 0.0000 | 0.0000 |
| 1992-09 | 0.9996 | 0.0004 | 0.0000 |
| 1992-10 | 0.9997 | 0.0003 | 0.0000 |
| 1992-11 | 0.9999 | 0.0001 | 0.0000 |
| 1992-12 | 0.9997 | 0.0003 | 0.0000 |
| 1993-01 | 0.9951 | 0.0049 | 0.0000 |
| 1993-02 | 0.9891 | 0.0108 | 0.0000 |
| 1993-03 | 0.9953 | 0.0047 | 0.0000 |
| 1993-04 | 0.9931 | 0.0069 | 0.0000 |
| 1993-05 | 0.9996 | 0.0004 | 0.0000 |
| 1993-06 | 0.9999 | 0.0001 | 0.0000 |
| 1993-07 | 1.0000 | 0.0000 | 0.0000 |
| 1993-08 | 0.9999 | 0.0001 | 0.0000 |
| 1993-09 | 0.9999 | 0.0001 | 0.0000 |
| 1993-10 | 0.9997 | 0.0003 | 0.0000 |
| 1993-11 | 0.9999 | 0.0001 | 0.0000 |
| 1993-12 | 1.0000 | 0.0000 | 0.0000 |
| 1994-01 | 0.9999 | 0.0001 | 0.0000 |
| 1994-02 | 0.9999 | 0.0001 | 0.0000 |
| 1994-03 | 0.9982 | 0.0018 | 0.0000 |
| 1994-04 | 0.9943 | 0.0057 | 0.0000 |
| 1994-05 | 0.9987 | 0.0013 | 0.0000 |
| 1994-06 | 0.9996 | 0.0004 | 0.0000 |
| 1994-07 | 1.0000 | 0.0000 | 0.0000 |
| 1994-08 | 0.9999 | 0.0001 | 0.0000 |
| 1994-09 | 1.0000 | 0.0000 | 0.0000 |
| 1994-10 | 0.9996 | 0.0004 | 0.0000 |
| 1994-11 | 0.9994 | 0.0006 | 0.0000 |
| 1994-12 | 0.9996 | 0.0004 | 0.0000 |
| 1995-01 | 0.9997 | 0.0003 | 0.0000 |
| 1995-02 | 1.0000 | 0.0000 | 0.0000 |
| 1995-03 | 0.9997 | 0.0003 | 0.0000 |
| 1995-04 | 0.9999 | 0.0001 | 0.0000 |
| 1995-05 | 0.9989 | 0.0011 | 0.0000 |
| 1995-06 | 0.9993 | 0.0007 | 0.0000 |
| 1995-07 | 0.9979 | 0.0021 | 0.0000 |
| 1995-08 | 0.9999 | 0.0001 | 0.0000 |
| 1995-09 | 0.9998 | 0.0002 | 0.0000 |
| 1995-10 | 0.9988 | 0.0012 | 0.0000 |
| 1995-11 | 0.9995 | 0.0005 | 0.0000 |
| 1995-12 | 0.9990 | 0.0010 | 0.0000 |
| 1996-01 | 0.9967 | 0.0033 | 0.0000 |
| 1996-02 | 0.9989 | 0.0011 | 0.0000 |
| 1996-03 | 0.9942 | 0.0058 | 0.0000 |
| 1996-04 | 0.9985 | 0.0015 | 0.0000 |
| 1996-05 | 0.9995 | 0.0005 | 0.0000 |
| 1996-06 | 0.9987 | 0.0013 | 0.0000 |
| 1996-07 | 0.9812 | 0.0188 | 0.0000 |
| 1996-08 | 0.9966 | 0.0034 | 0.0000 |
| 1996-09 | 0.9982 | 0.0018 | 0.0000 |
| 1996-10 | 0.9924 | 0.0076 | 0.0000 |
| 1996-11 | 0.9718 | 0.0282 | 0.0001 |
| 1996-12 | 0.7207 | 0.2792 | 0.0002 |
| 1997-01 | 0.6063 | 0.3923 | 0.0014 |
| 1997-02 | 0.3951 | 0.6023 | 0.0026 |
| 1997-03 | 0.1637 | 0.8293 | 0.0070 |
| 1997-04 | 0.0867 | 0.9008 | 0.0126 |
| 1997-05 | 0.0748 | 0.9184 | 0.0068 |
| 1997-06 | 0.0569 | 0.9378 | 0.0053 |
| 1997-07 | 0.0340 | 0.9597 | 0.0063 |
| 1997-08 | 0.0182 | 0.9725 | 0.0093 |
| 1997-09 | 0.0075 | 0.9614 | 0.0311 |
| 1997-10 | 0.0005 | 0.8271 | 0.1725 |
| 1997-11 | 0.0012 | 0.9345 | 0.0643 |
| 1997-12 | 0.0006 | 0.9303 | 0.0691 |
| 1998-01 | 0.0016 | 0.9582 | 0.0402 |
| 1998-02 | 0.0116 | 0.9694 | 0.0190 |
| 1998-03 | 0.0062 | 0.9738 | 0.0200 |
| 1998-04 | 0.0051 | 0.9766 | 0.0183 |
| 1998-05 | 0.0083 | 0.9725 | 0.0192 |
| 1998-06 | 0.0019 | 0.9349 | 0.0632 |
| 1998-07 | 0.0002 | 0.7908 | 0.2091 |
| 1998-08 | 0.0000 | 0.1237 | 0.8763 |
| 1998-09 | 0.0000 | 0.0041 | 0.9959 |
| 1998-10 | 0.0000 | 0.0020 | 0.9980 |
| 1998-11 | 0.0000 | 0.3150 | 0.6850 |
| 1998-12 | 0.0000 | 0.2651 | 0.7348 |
| 1999-01 | 0.0000 | 0.3289 | 0.6711 |
| 1999-02 | 0.0000 | 0.3652 | 0.6348 |
| 1999-03 | 0.0000 | 0.3456 | 0.6544 |
| 1999-04 | 0.0000 | 0.1324 | 0.8676 |
| 1999-05 | 0.0001 | 0.7029 | 0.2970 |
| 1999-06 | 0.0001 | 0.7980 | 0.2019 |
| 1999-07 | 0.0009 | 0.9202 | 0.0789 |
| 1999-08 | 0.0003 | 0.9154 | 0.0843 |
| 1999-09 | 0.0002 | 0.8654 | 0.1343 |
| 1999-10 | 0.0000 | 0.6037 | 0.3962 |
| 1999-11 | 0.0001 | 0.7397 | 0.2602 |
| 1999-12 | 0.0000 | 0.6121 | 0.3879 |
| 2000-01 | 0.0000 | 0.0440 | 0.9560 |
| 2000-02 | 0.0000 | 0.0795 | 0.9205 |
| 2000-03 | 0.0000 | 0.0016 | 0.9984 |
| 2000-04 | 0.0000 | 0.0002 | 0.9998 |
| 2000-05 | 0.0000 | 0.0702 | 0.9298 |
| 2000-06 | 0.0000 | 0.2440 | 0.7560 |
| 2000-07 | 0.0000 | 0.4220 | 0.5780 |
| 2000-08 | 0.0004 | 0.5289 | 0.4707 |
| 2000-09 | 0.0000 | 0.2987 | 0.7013 |
| 2000-10 | 0.0000 | 0.0039 | 0.9961 |
| 2000-11 | 0.0000 | 0.0164 | 0.9836 |
| 2000-12 | 0.0000 | 0.0027 | 0.9973 |
| 2001-01 | 0.0000 | 0.0010 | 0.9990 |
| 2001-02 | 0.0000 | 0.0971 | 0.9029 |
| 2001-03 | 0.0000 | 0.0326 | 0.9674 |
| 2001-04 | 0.0000 | 0.0787 | 0.9213 |
| 2001-05 | 0.0001 | 0.7963 | 0.2037 |
| 2001-06 | 0.0005 | 0.9137 | 0.0858 |
| 2001-07 | 0.0002 | 0.8909 | 0.1089 |
| 2001-08 | 0.0005 | 0.8263 | 0.1732 |
| 2001-09 | 0.0000 | 0.4185 | 0.5815 |
| 2001-10 | 0.0001 | 0.6949 | 0.3050 |
| 2001-11 | 0.0011 | 0.9049 | 0.0940 |
| 2001-12 | 0.0010 | 0.9687 | 0.0304 |
| 2002-01 | 0.0005 | 0.9789 | 0.0205 |
| 2002-02 | 0.0006 | 0.9801 | 0.0193 |
| 2002-03 | 0.0004 | 0.9562 | 0.0433 |
| 2002-04 | 0.0001 | 0.8334 | 0.1665 |
| 2002-05 | 0.0000 | 0.5519 | 0.4481 |
| 2002-06 | 0.0000 | 0.3961 | 0.6039 |
| 2002-07 | 0.0000 | 0.0007 | 0.9993 |
| 2002-08 | 0.0000 | 0.0301 | 0.9699 |
| 2002-09 | 0.0000 | 0.0201 | 0.9799 |
| 2002-10 | 0.0000 | 0.0002 | 0.9998 |
| 2002-11 | 0.0000 | 0.2386 | 0.7614 |
| 2002-12 | 0.0001 | 0.6738 | 0.3261 |
| 2003-01 | 0.0001 | 0.7251 | 0.2747 |
| 2003-02 | 0.0015 | 0.8428 | 0.1557 |
| 2003-03 | 0.0002 | 0.8412 | 0.1586 |
| 2003-04 | 0.0004 | 0.9224 | 0.0773 |
| 2003-05 | 0.0032 | 0.9702 | 0.0266 |
| 2003-06 | 0.0066 | 0.9808 | 0.0126 |
| 2003-07 | 0.0133 | 0.9746 | 0.0121 |
| 2003-08 | 0.0523 | 0.9411 | 0.0066 |
| 2003-09 | 0.0705 | 0.9212 | 0.0083 |
| 2003-10 | 0.1649 | 0.8308 | 0.0042 |
| 2003-11 | 0.3072 | 0.6898 | 0.0030 |
| 2003-12 | 0.4094 | 0.5879 | 0.0027 |
| 2004-01 | 0.4786 | 0.5178 | 0.0036 |
| 2004-02 | 0.5630 | 0.4344 | 0.0025 |
| 2004-03 | 0.5745 | 0.4235 | 0.0021 |
| 2004-04 | 0.6505 | 0.3468 | 0.0027 |
| 2004-05 | 0.7596 | 0.2394 | 0.0010 |
| 2004-06 | 0.8383 | 0.1609 | 0.0007 |
| 2004-07 | 0.8675 | 0.1315 | 0.0010 |
| 2004-08 | 0.8962 | 0.1035 | 0.0003 |
| 2004-09 | 0.9486 | 0.0512 | 0.0002 |
| 2004-10 | 0.9631 | 0.0368 | 0.0001 |
| 2004-11 | 0.9870 | 0.0130 | 0.0000 |
| 2004-12 | 0.9941 | 0.0059 | 0.0000 |
| 2005-01 | 0.9961 | 0.0039 | 0.0000 |
| 2005-02 | 0.9961 | 0.0039 | 0.0000 |
| 2005-03 | 0.9944 | 0.0056 | 0.0000 |
| 2005-04 | 0.9910 | 0.0090 | 0.0000 |
| 2005-05 | 0.9981 | 0.0019 | 0.0000 |
| 2005-06 | 0.9996 | 0.0004 | 0.0000 |
| 2005-07 | 0.9993 | 0.0007 | 0.0000 |
| 2005-08 | 0.9987 | 0.0013 | 0.0000 |
| 2005-09 | 0.9944 | 0.0056 | 0.0000 |
| 2005-10 | 0.9878 | 0.0122 | 0.0000 |
| 2005-11 | 0.9982 | 0.0018 | 0.0000 |
| 2005-12 | 0.9998 | 0.0002 | 0.0000 |
| 2006-01 | 0.9991 | 0.0009 | 0.0000 |
| 2006-02 | 0.9996 | 0.0004 | 0.0000 |
| 2006-03 | 0.9997 | 0.0003 | 0.0000 |
| 2006-04 | 0.9970 | 0.0030 | 0.0000 |
| 2006-05 | 0.9915 | 0.0084 | 0.0000 |
| 2006-06 | 0.9849 | 0.0151 | 0.0000 |
| 2006-07 | 0.9879 | 0.0121 | 0.0000 |
| 2006-08 | 0.9972 | 0.0028 | 0.0000 |
| 2006-09 | 0.9988 | 0.0012 | 0.0000 |
| 2006-10 | 0.9997 | 0.0003 | 0.0000 |
| 2006-11 | 0.9998 | 0.0002 | 0.0000 |
| 2006-12 | 1.0000 | 0.0000 | 0.0000 |
| 2007-01 | 0.9992 | 0.0008 | 0.0000 |
| 2007-02 | 0.9999 | 0.0001 | 0.0000 |
| 2007-03 | 0.9992 | 0.0008 | 0.0000 |
| 2007-04 | 0.9958 | 0.0042 | 0.0000 |
| 2007-05 | 0.9652 | 0.0347 | 0.0001 |
| 2007-06 | 0.7512 | 0.2460 | 0.0027 |
| 2007-07 | 0.0722 | 0.8838 | 0.0439 |
| 2007-08 | 0.0046 | 0.4314 | 0.5640 |
| 2007-09 | 0.0034 | 0.4125 | 0.5841 |
| 2007-10 | 0.0001 | 0.2501 | 0.7498 |
| 2007-11 | 0.0000 | 0.0216 | 0.9784 |
| 2007-12 | 0.0000 | 0.1149 | 0.8851 |
| 2008-01 | 0.0000 | 0.0000 | 1.0000 |
| 2008-02 | 0.0000 | 0.0346 | 0.9654 |
| 2008-03 | 0.0000 | 0.0021 | 0.9979 |
| 2008-04 | 0.0000 | 0.0862 | 0.9138 |
| 2008-05 | 0.0000 | 0.1730 | 0.8270 |
| 2008-06 | 0.0000 | 0.0567 | 0.9433 |
| 2008-07 | 0.0000 | 0.0000 | 1.0000 |
| 2008-08 | 0.0000 | 0.0493 | 0.9507 |
| 2008-09 | 0.0000 | 0.0000 | 1.0000 |
| 2008-10 | 0.0000 | 0.0000 | 1.0000 |
| 2008-11 | 0.0000 | 0.0000 | 1.0000 |
| 2008-12 | 0.0000 | 0.0000 | 1.0000 |
| 2009-01 | 0.0000 | 0.0000 | 1.0000 |
| 2009-02 | 0.0000 | 0.0011 | 0.9989 |
| 2009-03 | 0.0000 | 0.0000 | 1.0000 |
| 2009-04 | 0.0000 | 0.0015 | 0.9985 |
| 2009-05 | 0.0000 | 0.0686 | 0.9314 |
| 2009-06 | 0.0000 | 0.7187 | 0.2813 |
| 2009-07 | 0.0003 | 0.9011 | 0.0986 |
| 2009-08 | 0.0011 | 0.9699 | 0.0289 |
| 2009-09 | 0.0021 | 0.9835 | 0.0145 |
| 2009-10 | 0.0028 | 0.9755 | 0.0217 |
| 2009-11 | 0.0191 | 0.9695 | 0.0114 |
| 2009-12 | 0.0213 | 0.9706 | 0.0082 |
| 2010-01 | 0.0127 | 0.9703 | 0.0170 |
| 2010-02 | 0.0149 | 0.9745 | 0.0106 |
| 2010-03 | 0.0165 | 0.9682 | 0.0153 |
| 2010-04 | 0.0034 | 0.9362 | 0.0603 |
| 2010-05 | 0.0001 | 0.8578 | 0.1421 |
| 2010-06 | 0.0001 | 0.8621 | 0.1379 |
| 2010-07 | 0.0002 | 0.9347 | 0.0651 |
| 2010-08 | 0.0007 | 0.9690 | 0.0302 |
| 2010-09 | 0.0010 | 0.9839 | 0.0151 |
| 2010-10 | 0.0015 | 0.9881 | 0.0104 |
| 2010-11 | 0.0032 | 0.9871 | 0.0096 |
| 2010-12 | 0.0106 | 0.9803 | 0.0091 |
| 2011-01 | 0.0063 | 0.9765 | 0.0172 |
| 2011-02 | 0.0062 | 0.9859 | 0.0079 |
| 2011-03 | 0.0057 | 0.9873 | 0.0070 |
| 2011-04 | 0.0090 | 0.9849 | 0.0061 |
| 2011-05 | 0.0057 | 0.9827 | 0.0116 |
| 2011-06 | 0.0011 | 0.9531 | 0.0458 |
| 2011-07 | 0.0000 | 0.8030 | 0.1970 |
| 2011-08 | 0.0000 | 0.0001 | 0.9999 |
| 2011-09 | 0.0000 | 0.0034 | 0.9966 |
| 2011-10 | 0.0000 | 0.0018 | 0.9982 |
| 2011-11 | 0.0000 | 0.4037 | 0.5963 |
| 2011-12 | 0.0002 | 0.7735 | 0.2262 |
| 2012-01 | 0.0036 | 0.9687 | 0.0277 |
| 2012-02 | 0.0080 | 0.9816 | 0.0104 |
| 2012-03 | 0.0046 | 0.9862 | 0.0092 |
| 2012-04 | 0.0031 | 0.9838 | 0.0130 |
| 2012-05 | 0.0043 | 0.9785 | 0.0171 |
| 2012-06 | 0.0079 | 0.9448 | 0.0473 |
Figure 3 Data: Smoothed Probabilities of Volatility Regimes
| Date | Panel a | Panel b | Panel c |
|---|---|---|---|
| 1985-01 | 0.9396 | 0.0601 | 0.0002 |
| 1985-02 | 0.9897 | 0.0103 | 0.0000 |
| 1985-03 | 0.9967 | 0.0032 | 0.0000 |
| 1985-04 | 0.9995 | 0.0005 | 0.0000 |
| 1985-05 | 0.9992 | 0.0008 | 0.0000 |
| 1985-06 | 0.9997 | 0.0003 | 0.0000 |
| 1985-07 | 0.9986 | 0.0014 | 0.0000 |
| 1985-08 | 1.0000 | 0.0000 | 0.0000 |
| 1985-09 | 0.9969 | 0.0031 | 0.0000 |
| 1985-10 | 0.9875 | 0.0125 | 0.0000 |
| 1985-11 | 0.9790 | 0.0208 | 0.0002 |
| 1985-12 | 0.7822 | 0.2176 | 0.0001 |
| 1986-01 | 0.7346 | 0.2644 | 0.0010 |
| 1986-02 | 0.7005 | 0.2982 | 0.0013 |
| 1986-03 | 0.6428 | 0.3555 | 0.0017 |
| 1986-04 | 0.5671 | 0.4303 | 0.0026 |
| 1986-05 | 0.5441 | 0.4532 | 0.0027 |
| 1986-06 | 0.4743 | 0.5218 | 0.0039 |
| 1986-07 | 0.3576 | 0.6323 | 0.0101 |
| 1986-08 | 0.3349 | 0.6599 | 0.0051 |
| 1986-09 | 0.2726 | 0.7173 | 0.0101 |
| 1986-10 | 0.2976 | 0.6981 | 0.0043 |
| 1986-11 | 0.2701 | 0.7248 | 0.0051 |
| 1986-12 | 0.2280 | 0.7653 | 0.0067 |
| 1987-01 | 0.1274 | 0.8526 | 0.0201 |
| 1987-02 | 0.1054 | 0.8865 | 0.0080 |
| 1987-03 | 0.0693 | 0.9207 | 0.0100 |
| 1987-04 | 0.0445 | 0.9254 | 0.0301 |
| 1987-05 | 0.0540 | 0.9352 | 0.0108 |
| 1987-06 | 0.0729 | 0.9205 | 0.0066 |
| 1987-07 | 0.0670 | 0.9229 | 0.0101 |
| 1987-08 | 0.0194 | 0.9412 | 0.0394 |
| 1987-09 | 0.0000 | 0.8254 | 0.1746 |
| 1987-10 | 0.0000 | 0.0000 | 1.0000 |
| 1987-11 | 0.0000 | 0.2242 | 0.7758 |
| 1987-12 | 0.0000 | 0.1956 | 0.8044 |
| 1988-01 | 0.0006 | 0.3956 | 0.6038 |
| 1988-02 | 0.0287 | 0.8765 | 0.0948 |
| 1988-03 | 0.0705 | 0.9092 | 0.0203 |
| 1988-04 | 0.1413 | 0.8506 | 0.0081 |
| 1988-05 | 0.2303 | 0.7657 | 0.0040 |
| 1988-06 | 0.3279 | 0.6691 | 0.0029 |
| 1988-07 | 0.6455 | 0.3530 | 0.0015 |
| 1988-08 | 0.7633 | 0.2359 | 0.0008 |
| 1988-09 | 0.8419 | 0.1575 | 0.0005 |
| 1988-10 | 0.8950 | 0.1046 | 0.0005 |
| 1988-11 | 0.9665 | 0.0335 | 0.0000 |
| 1988-12 | 0.9964 | 0.0036 | 0.0000 |
| 1989-01 | 0.9981 | 0.0019 | 0.0000 |
| 1989-02 | 0.9985 | 0.0015 | 0.0000 |
| 1989-03 | 0.9978 | 0.0022 | 0.0000 |
| 1989-04 | 0.9988 | 0.0011 | 0.0000 |
| 1989-05 | 0.9967 | 0.0033 | 0.0000 |
| 1989-06 | 0.9914 | 0.0086 | 0.0000 |
| 1989-07 | 0.9951 | 0.0049 | 0.0000 |
| 1989-08 | 0.9944 | 0.0056 | 0.0000 |
| 1989-09 | 0.9942 | 0.0058 | 0.0000 |
| 1989-10 | 0.9692 | 0.0306 | 0.0001 |
| 1989-11 | 0.9866 | 0.0133 | 0.0001 |
| 1989-12 | 0.9810 | 0.0189 | 0.0001 |
| 1990-01 | 0.9747 | 0.0252 | 0.0001 |
| 1990-02 | 0.9844 | 0.0155 | 0.0001 |
| 1990-03 | 0.9777 | 0.0222 | 0.0001 |
| 1990-04 | 0.9510 | 0.0487 | 0.0003 |
| 1990-05 | 0.8262 | 0.1729 | 0.0009 |
| 1990-06 | 0.5046 | 0.4901 | 0.0053 |
| 1990-07 | 0.0421 | 0.8900 | 0.0680 |
| 1990-08 | 0.0014 | 0.2629 | 0.7357 |
| 1990-09 | 0.0013 | 0.6300 | 0.3687 |
| 1990-10 | 0.0009 | 0.6368 | 0.3623 |
| 1990-11 | 0.0066 | 0.8970 | 0.0964 |
| 1990-12 | 0.0129 | 0.9584 | 0.0287 |
| 1991-01 | 0.0140 | 0.9389 | 0.0471 |
| 1991-02 | 0.0565 | 0.9303 | 0.0132 |
| 1991-03 | 0.2022 | 0.7939 | 0.0039 |
| 1991-04 | 0.4377 | 0.5603 | 0.0021 |
| 1991-05 | 0.6099 | 0.3891 | 0.0010 |
| 1991-06 | 0.8222 | 0.1768 | 0.0010 |
| 1991-07 | 0.8589 | 0.1405 | 0.0006 |
| 1991-08 | 0.8783 | 0.1213 | 0.0004 |
| 1991-09 | 0.9238 | 0.0754 | 0.0008 |
| 1991-10 | 0.9032 | 0.0961 | 0.0007 |
| 1991-11 | 0.8960 | 0.1033 | 0.0007 |
| 1991-12 | 0.9024 | 0.0968 | 0.0008 |
| 1992-01 | 0.9361 | 0.0635 | 0.0004 |
| 1992-02 | 0.9847 | 0.0152 | 0.0001 |
| 1992-03 | 0.9938 | 0.0061 | 0.0001 |
| 1992-04 | 0.9873 | 0.0126 | 0.0000 |
| 1992-05 | 0.9979 | 0.0021 | 0.0000 |
| 1992-06 | 0.9986 | 0.0014 | 0.0000 |
| 1992-07 | 0.9995 | 0.0005 | 0.0000 |
| 1992-08 | 1.0000 | 0.0000 | 0.0000 |
| 1992-09 | 0.9996 | 0.0004 | 0.0000 |
| 1992-10 | 0.9997 | 0.0003 | 0.0000 |
| 1992-11 | 0.9999 | 0.0001 | 0.0000 |
| 1992-12 | 0.9997 | 0.0003 | 0.0000 |
| 1993-01 | 0.9951 | 0.0049 | 0.0000 |
| 1993-02 | 0.9891 | 0.0108 | 0.0000 |
| 1993-03 | 0.9953 | 0.0047 | 0.0000 |
| 1993-04 | 0.9931 | 0.0069 | 0.0000 |
| 1993-05 | 0.9996 | 0.0004 | 0.0000 |
| 1993-06 | 0.9999 | 0.0001 | 0.0000 |
| 1993-07 | 1.0000 | 0.0000 | 0.0000 |
| 1993-08 | 0.9999 | 0.0001 | 0.0000 |
| 1993-09 | 0.9999 | 0.0001 | 0.0000 |
| 1993-10 | 0.9997 | 0.0003 | 0.0000 |
| 1993-11 | 0.9999 | 0.0001 | 0.0000 |
| 1993-12 | 1.0000 | 0.0000 | 0.0000 |
| 1994-01 | 0.9999 | 0.0001 | 0.0000 |
| 1994-02 | 0.9999 | 0.0001 | 0.0000 |
| 1994-03 | 0.9982 | 0.0018 | 0.0000 |
| 1994-04 | 0.9943 | 0.0057 | 0.0000 |
| 1994-05 | 0.9987 | 0.0013 | 0.0000 |
| 1994-06 | 0.9996 | 0.0004 | 0.0000 |
| 1994-07 | 1.0000 | 0.0000 | 0.0000 |
| 1994-08 | 0.9999 | 0.0001 | 0.0000 |
| 1994-09 | 1.0000 | 0.0000 | 0.0000 |
| 1994-10 | 0.9996 | 0.0004 | 0.0000 |
| 1994-11 | 0.9994 | 0.0006 | 0.0000 |
| 1994-12 | 0.9996 | 0.0004 | 0.0000 |
| 1995-01 | 0.9997 | 0.0003 | 0.0000 |
| 1995-02 | 1.0000 | 0.0000 | 0.0000 |
| 1995-03 | 0.9997 | 0.0003 | 0.0000 |
| 1995-04 | 0.9999 | 0.0001 | 0.0000 |
| 1995-05 | 0.9989 | 0.0011 | 0.0000 |
| 1995-06 | 0.9993 | 0.0007 | 0.0000 |
| 1995-07 | 0.9979 | 0.0021 | 0.0000 |
| 1995-08 | 0.9999 | 0.0001 | 0.0000 |
| 1995-09 | 0.9998 | 0.0002 | 0.0000 |
| 1995-10 | 0.9988 | 0.0012 | 0.0000 |
| 1995-11 | 0.9995 | 0.0005 | 0.0000 |
| 1995-12 | 0.9990 | 0.0010 | 0.0000 |
| 1996-01 | 0.9967 | 0.0033 | 0.0000 |
| 1996-02 | 0.9989 | 0.0011 | 0.0000 |
| 1996-03 | 0.9942 | 0.0058 | 0.0000 |
| 1996-04 | 0.9985 | 0.0015 | 0.0000 |
| 1996-05 | 0.9995 | 0.0005 | 0.0000 |
| 1996-06 | 0.9987 | 0.0013 | 0.0000 |
| 1996-07 | 0.9812 | 0.0188 | 0.0000 |
| 1996-08 | 0.9966 | 0.0034 | 0.0000 |
| 1996-09 | 0.9982 | 0.0018 | 0.0000 |
| 1996-10 | 0.9924 | 0.0076 | 0.0000 |
| 1996-11 | 0.9718 | 0.0282 | 0.0001 |
| 1996-12 | 0.7207 | 0.2792 | 0.0002 |
| 1997-01 | 0.6063 | 0.3923 | 0.0014 |
| 1997-02 | 0.3951 | 0.6023 | 0.0026 |
| 1997-03 | 0.1637 | 0.8293 | 0.0070 |
| 1997-04 | 0.0867 | 0.9008 | 0.0126 |
| 1997-05 | 0.0748 | 0.9184 | 0.0068 |
| 1997-06 | 0.0569 | 0.9378 | 0.0053 |
| 1997-07 | 0.0340 | 0.9597 | 0.0063 |
| 1997-08 | 0.0182 | 0.9725 | 0.0093 |
| 1997-09 | 0.0075 | 0.9614 | 0.0311 |
| 1997-10 | 0.0005 | 0.8271 | 0.1725 |
| 1997-11 | 0.0012 | 0.9345 | 0.0643 |
| 1997-12 | 0.0006 | 0.9303 | 0.0691 |
| 1998-01 | 0.0016 | 0.9582 | 0.0402 |
| 1998-02 | 0.0116 | 0.9694 | 0.0190 |
| 1998-03 | 0.0062 | 0.9738 | 0.0200 |
| 1998-04 | 0.0051 | 0.9766 | 0.0183 |
| 1998-05 | 0.0083 | 0.9725 | 0.0192 |
| 1998-06 | 0.0019 | 0.9349 | 0.0632 |
| 1998-07 | 0.0002 | 0.7908 | 0.2091 |
| 1998-08 | 0.0000 | 0.1237 | 0.8763 |
| 1998-09 | 0.0000 | 0.0041 | 0.9959 |
| 1998-10 | 0.0000 | 0.0020 | 0.9980 |
| 1998-11 | 0.0000 | 0.3150 | 0.6850 |
| 1998-12 | 0.0000 | 0.2651 | 0.7348 |
| 1999-01 | 0.0000 | 0.3289 | 0.6711 |
| 1999-02 | 0.0000 | 0.3652 | 0.6348 |
| 1999-03 | 0.0000 | 0.3456 | 0.6544 |
| 1999-04 | 0.0000 | 0.1324 | 0.8676 |
| 1999-05 | 0.0001 | 0.7029 | 0.2970 |
| 1999-06 | 0.0001 | 0.7980 | 0.2019 |
| 1999-07 | 0.0009 | 0.9202 | 0.0789 |
| 1999-08 | 0.0003 | 0.9154 | 0.0843 |
| 1999-09 | 0.0002 | 0.8654 | 0.1343 |
| 1999-10 | 0.0000 | 0.6037 | 0.3962 |
| 1999-11 | 0.0001 | 0.7397 | 0.2602 |
| 1999-12 | 0.0000 | 0.6121 | 0.3879 |
| 2000-01 | 0.0000 | 0.0440 | 0.9560 |
| 2000-02 | 0.0000 | 0.0795 | 0.9205 |
| 2000-03 | 0.0000 | 0.0016 | 0.9984 |
| 2000-04 | 0.0000 | 0.0002 | 0.9998 |
| 2000-05 | 0.0000 | 0.0702 | 0.9298 |
| 2000-06 | 0.0000 | 0.2440 | 0.7560 |
| 2000-07 | 0.0000 | 0.4220 | 0.5780 |
| 2000-08 | 0.0004 | 0.5289 | 0.4707 |
| 2000-09 | 0.0000 | 0.2987 | 0.7013 |
| 2000-10 | 0.0000 | 0.0039 | 0.9961 |
| 2000-11 | 0.0000 | 0.0164 | 0.9836 |
| 2000-12 | 0.0000 | 0.0027 | 0.9973 |
| 2001-01 | 0.0000 | 0.0010 | 0.9990 |
| 2001-02 | 0.0000 | 0.0971 | 0.9029 |
| 2001-03 | 0.0000 | 0.0326 | 0.9674 |
| 2001-04 | 0.0000 | 0.0787 | 0.9213 |
| 2001-05 | 0.0001 | 0.7963 | 0.2037 |
| 2001-06 | 0.0005 | 0.9137 | 0.0858 |
| 2001-07 | 0.0002 | 0.8909 | 0.1089 |
| 2001-08 | 0.0005 | 0.8263 | 0.1732 |
| 2001-09 | 0.0000 | 0.4185 | 0.5815 |
| 2001-10 | 0.0001 | 0.6949 | 0.3050 |
| 2001-11 | 0.0011 | 0.9049 | 0.0940 |
| 2001-12 | 0.0010 | 0.9687 | 0.0304 |
| 2002-01 | 0.0005 | 0.9789 | 0.0205 |
| 2002-02 | 0.0006 | 0.9801 | 0.0193 |
| 2002-03 | 0.0004 | 0.9562 | 0.0433 |
| 2002-04 | 0.0001 | 0.8334 | 0.1665 |
| 2002-05 | 0.0000 | 0.5519 | 0.4481 |
| 2002-06 | 0.0000 | 0.3961 | 0.6039 |
| 2002-07 | 0.0000 | 0.0007 | 0.9993 |
| 2002-08 | 0.0000 | 0.0301 | 0.9699 |
| 2002-09 | 0.0000 | 0.0201 | 0.9799 |
| 2002-10 | 0.0000 | 0.0002 | 0.9998 |
| 2002-11 | 0.0000 | 0.2386 | 0.7614 |
| 2002-12 | 0.0001 | 0.6738 | 0.3261 |
| 2003-01 | 0.0001 | 0.7251 | 0.2747 |
| 2003-02 | 0.0015 | 0.8428 | 0.1557 |
| 2003-03 | 0.0002 | 0.8412 | 0.1586 |
| 2003-04 | 0.0004 | 0.9224 | 0.0773 |
| 2003-05 | 0.0032 | 0.9702 | 0.0266 |
| 2003-06 | 0.0066 | 0.9808 | 0.0126 |
| 2003-07 | 0.0133 | 0.9746 | 0.0121 |
| 2003-08 | 0.0523 | 0.9411 | 0.0066 |
| 2003-09 | 0.0705 | 0.9212 | 0.0083 |
| 2003-10 | 0.1649 | 0.8308 | 0.0042 |
| 2003-11 | 0.3072 | 0.6898 | 0.0030 |
| 2003-12 | 0.4094 | 0.5879 | 0.0027 |
| 2004-01 | 0.4786 | 0.5178 | 0.0036 |
| 2004-02 | 0.5630 | 0.4344 | 0.0025 |
| 2004-03 | 0.5745 | 0.4235 | 0.0021 |
| 2004-04 | 0.6505 | 0.3468 | 0.0027 |
| 2004-05 | 0.7596 | 0.2394 | 0.0010 |
| 2004-06 | 0.8383 | 0.1609 | 0.0007 |
| 2004-07 | 0.8675 | 0.1315 | 0.0010 |
| 2004-08 | 0.8962 | 0.1035 | 0.0003 |
| 2004-09 | 0.9486 | 0.0512 | 0.0002 |
| 2004-10 | 0.9631 | 0.0368 | 0.0001 |
| 2004-11 | 0.9870 | 0.0130 | 0.0000 |
| 2004-12 | 0.9941 | 0.0059 | 0.0000 |
| 2005-01 | 0.9961 | 0.0039 | 0.0000 |
| 2005-02 | 0.9961 | 0.0039 | 0.0000 |
| 2005-03 | 0.9944 | 0.0056 | 0.0000 |
| 2005-04 | 0.9910 | 0.0090 | 0.0000 |
| 2005-05 | 0.9981 | 0.0019 | 0.0000 |
| 2005-06 | 0.9996 | 0.0004 | 0.0000 |
| 2005-07 | 0.9993 | 0.0007 | 0.0000 |
| 2005-08 | 0.9987 | 0.0013 | 0.0000 |
| 2005-09 | 0.9944 | 0.0056 | 0.0000 |
| 2005-10 | 0.9878 | 0.0122 | 0.0000 |
| 2005-11 | 0.9982 | 0.0018 | 0.0000 |
| 2005-12 | 0.9998 | 0.0002 | 0.0000 |
| 2006-01 | 0.9991 | 0.0009 | 0.0000 |
| 2006-02 | 0.9996 | 0.0004 | 0.0000 |
| 2006-03 | 0.9997 | 0.0003 | 0.0000 |
| 2006-04 | 0.9970 | 0.0030 | 0.0000 |
| 2006-05 | 0.9915 | 0.0084 | 0.0000 |
| 2006-06 | 0.9849 | 0.0151 | 0.0000 |
| 2006-07 | 0.9879 | 0.0121 | 0.0000 |
| 2006-08 | 0.9972 | 0.0028 | 0.0000 |
| 2006-09 | 0.9988 | 0.0012 | 0.0000 |
| 2006-10 | 0.9997 | 0.0003 | 0.0000 |
| 2006-11 | 0.9998 | 0.0002 | 0.0000 |
| 2006-12 | 1.0000 | 0.0000 | 0.0000 |
| 2007-01 | 0.9992 | 0.0008 | 0.0000 |
| 2007-02 | 0.9999 | 0.0001 | 0.0000 |
| 2007-03 | 0.9992 | 0.0008 | 0.0000 |
| 2007-04 | 0.9958 | 0.0042 | 0.0000 |
| 2007-05 | 0.9652 | 0.0347 | 0.0001 |
| 2007-06 | 0.7512 | 0.2460 | 0.0027 |
| 2007-07 | 0.0722 | 0.8838 | 0.0439 |
| 2007-08 | 0.0046 | 0.4314 | 0.5640 |
| 2007-09 | 0.0034 | 0.4125 | 0.5841 |
| 2007-10 | 0.0001 | 0.2501 | 0.7498 |
| 2007-11 | 0.0000 | 0.0216 | 0.9784 |
| 2007-12 | 0.0000 | 0.1149 | 0.8851 |
| 2008-01 | 0.0000 | 0.0000 | 1.0000 |
| 2008-02 | 0.0000 | 0.0346 | 0.9654 |
| 2008-03 | 0.0000 | 0.0021 | 0.9979 |
| 2008-04 | 0.0000 | 0.0862 | 0.9138 |
| 2008-05 | 0.0000 | 0.1730 | 0.8270 |
| 2008-06 | 0.0000 | 0.0567 | 0.9433 |
| 2008-07 | 0.0000 | 0.0000 | 1.0000 |
| 2008-08 | 0.0000 | 0.0493 | 0.9507 |
| 2008-09 | 0.0000 | 0.0000 | 1.0000 |
| 2008-10 | 0.0000 | 0.0000 | 1.0000 |
| 2008-11 | 0.0000 | 0.0000 | 1.0000 |
| 2008-12 | 0.0000 | 0.0000 | 1.0000 |
| 2009-01 | 0.0000 | 0.0000 | 1.0000 |
| 2009-02 | 0.0000 | 0.0011 | 0.9989 |
| 2009-03 | 0.0000 | 0.0000 | 1.0000 |
| 2009-04 | 0.0000 | 0.0015 | 0.9985 |
| 2009-05 | 0.0000 | 0.0686 | 0.9314 |
| 2009-06 | 0.0000 | 0.7187 | 0.2813 |
| 2009-07 | 0.0003 | 0.9011 | 0.0986 |
| 2009-08 | 0.0011 | 0.9699 | 0.0289 |
| 2009-09 | 0.0021 | 0.9835 | 0.0145 |
| 2009-10 | 0.0028 | 0.9755 | 0.0217 |
| 2009-11 | 0.0191 | 0.9695 | 0.0114 |
| 2009-12 | 0.0213 | 0.9706 | 0.0082 |
| 2010-01 | 0.0127 | 0.9703 | 0.0170 |
| 2010-02 | 0.0149 | 0.9745 | 0.0106 |
| 2010-03 | 0.0165 | 0.9682 | 0.0153 |
| 2010-04 | 0.0034 | 0.9362 | 0.0603 |
| 2010-05 | 0.0001 | 0.8578 | 0.1421 |
| 2010-06 | 0.0001 | 0.8621 | 0.1379 |
| 2010-07 | 0.0002 | 0.9347 | 0.0651 |
| 2010-08 | 0.0007 | 0.9690 | 0.0302 |
| 2010-09 | 0.0010 | 0.9839 | 0.0151 |
| 2010-10 | 0.0015 | 0.9881 | 0.0104 |
| 2010-11 | 0.0032 | 0.9871 | 0.0096 |
| 2010-12 | 0.0106 | 0.9803 | 0.0091 |
| 2011-01 | 0.0063 | 0.9765 | 0.0172 |
| 2011-02 | 0.0062 | 0.9859 | 0.0079 |
| 2011-03 | 0.0057 | 0.9873 | 0.0070 |
| 2011-04 | 0.0090 | 0.9849 | 0.0061 |
| 2011-05 | 0.0057 | 0.9827 | 0.0116 |
| 2011-06 | 0.0011 | 0.9531 | 0.0458 |
| 2011-07 | 0.0000 | 0.8030 | 0.1970 |
| 2011-08 | 0.0000 | 0.0001 | 0.9999 |
| 2011-09 | 0.0000 | 0.0034 | 0.9966 |
| 2011-10 | 0.0000 | 0.0018 | 0.9982 |
| 2011-11 | 0.0000 | 0.4037 | 0.5963 |
| 2011-12 | 0.0002 | 0.7735 | 0.2262 |
| 2012-01 | 0.0036 | 0.9687 | 0.0277 |
| 2012-02 | 0.0080 | 0.9816 | 0.0104 |
| 2012-03 | 0.0046 | 0.9862 | 0.0092 |
| 2012-04 | 0.0031 | 0.9838 | 0.0130 |
| 2012-05 | 0.0043 | 0.9785 | 0.0171 |
| 2012-06 | 0.0079 | 0.9448 | 0.0473 |
Figure 4 Data: Recursive Real-time Probabilities of the Volatility Regimes
| Date | Panel a | Panel b | Panel c |
|---|---|---|---|
| 1997-01 | 0.7755 | 0.2230 | 0.0015 |
| 1997-02 | 0.5722 | 0.4244 | 0.0034 |
| 1997-03 | 0.0251 | 0.9555 | 0.0194 |
| 1997-04 | 0.0038 | 0.9497 | 0.0464 |
| 1997-05 | 0.0136 | 0.9705 | 0.0159 |
| 1997-06 | 0.0168 | 0.9749 | 0.0083 |
| 1997-07 | 0.0109 | 0.9797 | 0.0094 |
| 1997-08 | 0.0165 | 0.9760 | 0.0075 |
| 1997-09 | 0.0238 | 0.9672 | 0.0090 |
| 1997-10 | 0.0006 | 0.0789 | 0.9206 |
| 1997-11 | 0.0007 | 0.9721 | 0.0272 |
| 1997-12 | 0.0039 | 0.7603 | 0.2357 |
| 1998-01 | 0.0053 | 0.9131 | 0.0816 |
| 1998-02 | 0.1346 | 0.8410 | 0.0244 |
| 1998-03 | 0.0576 | 0.9257 | 0.0167 |
| 1998-04 | 0.0229 | 0.9617 | 0.0154 |
| 1998-05 | 0.1140 | 0.8774 | 0.0086 |
| 1998-06 | 0.0325 | 0.9563 | 0.0112 |
| 1998-07 | 0.0162 | 0.9728 | 0.0110 |
| 1998-08 | 0.0008 | 0.7355 | 0.2636 |
| 1998-09 | 0.0000 | 0.0016 | 0.9984 |
| 1998-10 | 0.0000 | 0.0000 | 1.0000 |
| 1998-11 | 0.0000 | 0.6518 | 0.3482 |
| 1998-12 | 0.0004 | 0.3272 | 0.6723 |
| 1999-01 | 0.0007 | 0.3364 | 0.6630 |
| 1999-02 | 0.0009 | 0.3073 | 0.6918 |
| 1999-03 | 0.0046 | 0.7698 | 0.2257 |
| 1999-04 | 0.0000 | 0.0171 | 0.9829 |
| 1999-05 | 0.0001 | 0.3832 | 0.6167 |
| 1999-06 | 0.0006 | 0.3445 | 0.6548 |
| 1999-07 | 0.0281 | 0.9028 | 0.0690 |
| 1999-08 | 0.0091 | 0.9415 | 0.0494 |
| 1999-09 | 0.0119 | 0.9569 | 0.0313 |
| 1999-10 | 0.0004 | 0.3831 | 0.6165 |
| 1999-11 | 0.0043 | 0.8804 | 0.1153 |
| 1999-12 | 0.0051 | 0.9523 | 0.0425 |
| 2000-01 | 0.0000 | 0.0868 | 0.9132 |
| 2000-02 | 0.0007 | 0.5249 | 0.4744 |
| 2000-03 | 0.0000 | 0.0048 | 0.9952 |
| 2000-04 | 0.0000 | 0.0000 | 1.0000 |
| 2000-05 | 0.0000 | 0.0169 | 0.9831 |
| 2000-06 | 0.0000 | 0.0673 | 0.9327 |
| 2000-07 | 0.0002 | 0.1483 | 0.8516 |
| 2000-08 | 0.0219 | 0.7424 | 0.2357 |
| 2000-09 | 0.0062 | 0.7853 | 0.2085 |
| 2000-10 | 0.0000 | 0.0029 | 0.9971 |
| 2000-11 | 0.0000 | 0.0178 | 0.9822 |
| 2000-12 | 0.0000 | 0.0014 | 0.9986 |
| 2001-01 | 0.0000 | 0.0001 | 0.9999 |
| 2001-02 | 0.0000 | 0.1903 | 0.8097 |
| 2001-03 | 0.0000 | 0.0116 | 0.9884 |
| 2001-04 | 0.0000 | 0.0014 | 0.9986 |
| 2001-05 | 0.0000 | 0.3790 | 0.6210 |
| 2001-06 | 0.0120 | 0.8060 | 0.1820 |
| 2001-07 | 0.0043 | 0.8467 | 0.1490 |
| 2001-08 | 0.0285 | 0.9072 | 0.0642 |
| 2001-09 | 0.0001 | 0.0635 | 0.9365 |
| 2001-10 | 0.0001 | 0.0691 | 0.9308 |
| 2001-11 | 0.0016 | 0.3654 | 0.6330 |
| 2001-12 | 0.0075 | 0.7475 | 0.2450 |
| 2002-01 | 0.0053 | 0.8616 | 0.1331 |
| 2002-02 | 0.0095 | 0.9141 | 0.0764 |
| 2002-03 | 0.0095 | 0.9426 | 0.0479 |
| 2002-04 | 0.0037 | 0.9120 | 0.0843 |
| 2002-05 | 0.0008 | 0.6030 | 0.3963 |
| 2002-06 | 0.0019 | 0.6377 | 0.3605 |
| 2002-07 | 0.0000 | 0.0001 | 0.9999 |
| 2002-08 | 0.0000 | 0.0269 | 0.9731 |
| 2002-09 | 0.0000 | 0.0170 | 0.9830 |
| 2002-10 | 0.0000 | 0.0000 | 1.0000 |
| 2002-11 | 0.0000 | 0.0151 | 0.9849 |
| 2002-12 | 0.0004 | 0.4703 | 0.5293 |
| 2003-01 | 0.0003 | 0.2500 | 0.7497 |
| 2003-02 | 0.0132 | 0.6265 | 0.3602 |
| 2003-03 | 0.0005 | 0.2419 | 0.7577 |
| 2003-04 | 0.0006 | 0.2950 | 0.7044 |
| 2003-05 | 0.0068 | 0.6364 | 0.3568 |
| 2003-06 | 0.0116 | 0.8519 | 0.1364 |
| 2003-07 | 0.0050 | 0.9038 | 0.0911 |
| 2003-08 | 0.0533 | 0.9140 | 0.0327 |
| 2003-09 | 0.0127 | 0.9384 | 0.0489 |
| 2003-10 | 0.0193 | 0.9525 | 0.0282 |
| 2003-11 | 0.0541 | 0.9259 | 0.0199 |
| 2003-12 | 0.0988 | 0.8834 | 0.0178 |
| 2004-01 | 0.0807 | 0.8874 | 0.0319 |
| 2004-02 | 0.3162 | 0.6680 | 0.0157 |
| 2004-03 | 0.0790 | 0.9019 | 0.0191 |
| 2004-04 | 0.0470 | 0.8993 | 0.0537 |
| 2004-05 | 0.0717 | 0.9056 | 0.0227 |
| 2004-06 | 0.1927 | 0.7923 | 0.0150 |
| 2004-07 | 0.1499 | 0.8121 | 0.0380 |
| 2004-08 | 0.0744 | 0.9030 | 0.0225 |
| 2004-09 | 0.1672 | 0.8192 | 0.0136 |
| 2004-10 | 0.0859 | 0.8802 | 0.0339 |
| 2004-11 | 0.2290 | 0.7564 | 0.0145 |
| 2004-12 | 0.4026 | 0.5897 | 0.0077 |
| 2005-01 | 0.5286 | 0.4659 | 0.0055 |
| 2005-02 | 0.5691 | 0.4260 | 0.0049 |
| 2005-03 | 0.8766 | 0.1214 | 0.0020 |
| 2005-04 | 0.1359 | 0.8246 | 0.0395 |
| 2005-05 | 0.2100 | 0.7786 | 0.0114 |
| 2005-06 | 0.9790 | 0.0204 | 0.0006 |
| 2005-07 | 0.9853 | 0.0146 | 0.0002 |
| 2005-08 | 0.9910 | 0.0089 | 0.0001 |
| 2005-09 | 0.9774 | 0.0225 | 0.0001 |
| 2005-10 | 0.7309 | 0.2624 | 0.0067 |
| 2005-11 | 0.9402 | 0.0584 | 0.0014 |
| 2005-12 | 0.9974 | 0.0024 | 0.0002 |
| 2006-01 | 0.9790 | 0.0209 | 0.0001 |
| 2006-02 | 0.9908 | 0.0091 | 0.0001 |
| 2006-03 | 0.9977 | 0.0023 | 0.0000 |
| 2006-04 | 0.9881 | 0.0119 | 0.0000 |
| 2006-05 | 0.9665 | 0.0332 | 0.0003 |
| 2006-06 | 0.8128 | 0.1833 | 0.0039 |
| 2006-07 | 0.5992 | 0.3896 | 0.0112 |
| 2006-08 | 0.8848 | 0.1129 | 0.0023 |
| 2006-09 | 0.9563 | 0.0430 | 0.0007 |
| 2006-10 | 0.9896 | 0.0102 | 0.0002 |
| 2006-11 | 0.9954 | 0.0045 | 0.0001 |
| 2006-12 | 0.9999 | 0.0001 | 0.0000 |
| 2007-01 | 0.9843 | 0.0157 | 0.0000 |
| 2007-02 | 0.9989 | 0.0010 | 0.0001 |
| 2007-03 | 0.9966 | 0.0033 | 0.0000 |
| 2007-04 | 0.9973 | 0.0027 | 0.0000 |
| 2007-05 | 0.9966 | 0.0034 | 0.0000 |
| 2007-06 | 0.9922 | 0.0077 | 0.0001 |
| 2007-07 | 0.8628 | 0.1357 | 0.0015 |
| 2007-08 | 0.0364 | 0.2687 | 0.6949 |
| 2007-09 | 0.0655 | 0.5948 | 0.3397 |
| 2007-10 | 0.0414 | 0.5580 | 0.4006 |
| 2007-11 | 0.0000 | 0.0024 | 0.9975 |
| 2007-12 | 0.0001 | 0.3495 | 0.6504 |
| 2008-01 | 0.0000 | 0.0000 | 1.0000 |
| 2008-02 | 0.0000 | 0.0460 | 0.9540 |
| 2008-03 | 0.0000 | 0.0002 | 0.9998 |
| 2008-04 | 0.0000 | 0.0170 | 0.9830 |
| 2008-05 | 0.0005 | 0.1961 | 0.8035 |
| 2008-06 | 0.0000 | 0.0340 | 0.9659 |
| 2008-07 | 0.0000 | 0.0000 | 1.0000 |
| 2008-08 | 0.0000 | 0.0380 | 0.9620 |
| 2008-09 | 0.0000 | 0.0000 | 1.0000 |
| 2008-10 | 0.0000 | 0.0000 | 1.0000 |
| 2008-11 | 0.0000 | 0.0000 | 1.0000 |
| 2008-12 | 0.0000 | 0.0001 | 0.9999 |
| 2009-01 | 0.0000 | 0.0000 | 1.0000 |
| 2009-02 | 0.0000 | 0.0043 | 0.9957 |
| 2009-03 | 0.0000 | 0.0000 | 1.0000 |
| 2009-04 | 0.0000 | 0.0020 | 0.9980 |
| 2009-05 | 0.0000 | 0.0119 | 0.9881 |
| 2009-06 | 0.0003 | 0.3125 | 0.6873 |
| 2009-07 | 0.0041 | 0.6014 | 0.3945 |
| 2009-08 | 0.0189 | 0.8425 | 0.1386 |
| 2009-09 | 0.0353 | 0.9061 | 0.0586 |
| 2009-10 | 0.0063 | 0.8916 | 0.1022 |
| 2009-11 | 0.1092 | 0.8433 | 0.0475 |
| 2009-12 | 0.2927 | 0.6842 | 0.0231 |
| 2010-01 | 0.0741 | 0.8618 | 0.0641 |
| 2010-02 | 0.0946 | 0.8704 | 0.0350 |
| 2010-03 | 0.3672 | 0.6151 | 0.0178 |
| 2010-04 | 0.1111 | 0.8364 | 0.0525 |
| 2010-05 | 0.0031 | 0.7992 | 0.1977 |
| 2010-06 | 0.0011 | 0.7065 | 0.2924 |
| 2010-07 | 0.0048 | 0.8330 | 0.1623 |
| 2010-08 | 0.0150 | 0.8992 | 0.0858 |
| 2010-09 | 0.0186 | 0.9307 | 0.0507 |
| 2010-10 | 0.0185 | 0.9441 | 0.0374 |
| 2010-11 | 0.0147 | 0.9498 | 0.0355 |
| 2010-12 | 0.1728 | 0.8054 | 0.0218 |
| 2011-01 | 0.0638 | 0.8869 | 0.0494 |
| 2011-02 | 0.0749 | 0.9001 | 0.0250 |
| 2011-03 | 0.0367 | 0.9393 | 0.0240 |
| 2011-04 | 0.1442 | 0.8396 | 0.0162 |
| 2011-05 | 0.1591 | 0.8247 | 0.0162 |
| 2011-06 | 0.0451 | 0.9315 | 0.0234 |
| 2011-07 | 0.0329 | 0.9451 | 0.0220 |
| 2011-08 | 0.0000 | 0.0014 | 0.9986 |
| 2011-09 | 0.0000 | 0.0250 | 0.9750 |
| 2011-10 | 0.0000 | 0.0009 | 0.9991 |
| 2011-11 | 0.0000 | 0.1525 | 0.8475 |
| 2011-12 | 0.0008 | 0.4109 | 0.5883 |
| 2012-01 | 0.0201 | 0.8804 | 0.0995 |
| 2012-02 | 0.1338 | 0.8333 | 0.0329 |
| 2012-03 | 0.0776 | 0.8933 | 0.0291 |
| 2012-04 | 0.0334 | 0.9267 | 0.0399 |
| 2012-05 | 0.0275 | 0.9408 | 0.0317 |
| 2012-06 | 0.0079 | 0.9448 | 0.0473 |
Figure 4 Data: Recursive Real-time Probabilities of the Volatility Regimes
| Date | Panel a | Panel b | Panel c |
|---|---|---|---|
| 1997-01 | 0.7755 | 0.2230 | 0.0015 |
| 1997-02 | 0.5722 | 0.4244 | 0.0034 |
| 1997-03 | 0.0251 | 0.9555 | 0.0194 |
| 1997-04 | 0.0038 | 0.9497 | 0.0464 |
| 1997-05 | 0.0136 | 0.9705 | 0.0159 |
| 1997-06 | 0.0168 | 0.9749 | 0.0083 |
| 1997-07 | 0.0109 | 0.9797 | 0.0094 |
| 1997-08 | 0.0165 | 0.9760 | 0.0075 |
| 1997-09 | 0.0238 | 0.9672 | 0.0090 |
| 1997-10 | 0.0006 | 0.0789 | 0.9206 |
| 1997-11 | 0.0007 | 0.9721 | 0.0272 |
| 1997-12 | 0.0039 | 0.7603 | 0.2357 |
| 1998-01 | 0.0053 | 0.9131 | 0.0816 |
| 1998-02 | 0.1346 | 0.8410 | 0.0244 |
| 1998-03 | 0.0576 | 0.9257 | 0.0167 |
| 1998-04 | 0.0229 | 0.9617 | 0.0154 |
| 1998-05 | 0.1140 | 0.8774 | 0.0086 |
| 1998-06 | 0.0325 | 0.9563 | 0.0112 |
| 1998-07 | 0.0162 | 0.9728 | 0.0110 |
| 1998-08 | 0.0008 | 0.7355 | 0.2636 |
| 1998-09 | 0.0000 | 0.0016 | 0.9984 |
| 1998-10 | 0.0000 | 0.0000 | 1.0000 |
| 1998-11 | 0.0000 | 0.6518 | 0.3482 |
| 1998-12 | 0.0004 | 0.3272 | 0.6723 |
| 1999-01 | 0.0007 | 0.3364 | 0.6630 |
| 1999-02 | 0.0009 | 0.3073 | 0.6918 |
| 1999-03 | 0.0046 | 0.7698 | 0.2257 |
| 1999-04 | 0.0000 | 0.0171 | 0.9829 |
| 1999-05 | 0.0001 | 0.3832 | 0.6167 |
| 1999-06 | 0.0006 | 0.3445 | 0.6548 |
| 1999-07 | 0.0281 | 0.9028 | 0.0690 |
| 1999-08 | 0.0091 | 0.9415 | 0.0494 |
| 1999-09 | 0.0119 | 0.9569 | 0.0313 |
| 1999-10 | 0.0004 | 0.3831 | 0.6165 |
| 1999-11 | 0.0043 | 0.8804 | 0.1153 |
| 1999-12 | 0.0051 | 0.9523 | 0.0425 |
| 2000-01 | 0.0000 | 0.0868 | 0.9132 |
| 2000-02 | 0.0007 | 0.5249 | 0.4744 |
| 2000-03 | 0.0000 | 0.0048 | 0.9952 |
| 2000-04 | 0.0000 | 0.0000 | 1.0000 |
| 2000-05 | 0.0000 | 0.0169 | 0.9831 |
| 2000-06 | 0.0000 | 0.0673 | 0.9327 |
| 2000-07 | 0.0002 | 0.1483 | 0.8516 |
| 2000-08 | 0.0219 | 0.7424 | 0.2357 |
| 2000-09 | 0.0062 | 0.7853 | 0.2085 |
| 2000-10 | 0.0000 | 0.0029 | 0.9971 |
| 2000-11 | 0.0000 | 0.0178 | 0.9822 |
| 2000-12 | 0.0000 | 0.0014 | 0.9986 |
| 2001-01 | 0.0000 | 0.0001 | 0.9999 |
| 2001-02 | 0.0000 | 0.1903 | 0.8097 |
| 2001-03 | 0.0000 | 0.0116 | 0.9884 |
| 2001-04 | 0.0000 | 0.0014 | 0.9986 |
| 2001-05 | 0.0000 | 0.3790 | 0.6210 |
| 2001-06 | 0.0120 | 0.8060 | 0.1820 |
| 2001-07 | 0.0043 | 0.8467 | 0.1490 |
| 2001-08 | 0.0285 | 0.9072 | 0.0642 |
| 2001-09 | 0.0001 | 0.0635 | 0.9365 |
| 2001-10 | 0.0001 | 0.0691 | 0.9308 |
| 2001-11 | 0.0016 | 0.3654 | 0.6330 |
| 2001-12 | 0.0075 | 0.7475 | 0.2450 |
| 2002-01 | 0.0053 | 0.8616 | 0.1331 |
| 2002-02 | 0.0095 | 0.9141 | 0.0764 |
| 2002-03 | 0.0095 | 0.9426 | 0.0479 |
| 2002-04 | 0.0037 | 0.9120 | 0.0843 |
| 2002-05 | 0.0008 | 0.6030 | 0.3963 |
| 2002-06 | 0.0019 | 0.6377 | 0.3605 |
| 2002-07 | 0.0000 | 0.0001 | 0.9999 |
| 2002-08 | 0.0000 | 0.0269 | 0.9731 |
| 2002-09 | 0.0000 | 0.0170 | 0.9830 |
| 2002-10 | 0.0000 | 0.0000 | 1.0000 |
| 2002-11 | 0.0000 | 0.0151 | 0.9849 |
| 2002-12 | 0.0004 | 0.4703 | 0.5293 |
| 2003-01 | 0.0003 | 0.2500 | 0.7497 |
| 2003-02 | 0.0132 | 0.6265 | 0.3602 |
| 2003-03 | 0.0005 | 0.2419 | 0.7577 |
| 2003-04 | 0.0006 | 0.2950 | 0.7044 |
| 2003-05 | 0.0068 | 0.6364 | 0.3568 |
| 2003-06 | 0.0116 | 0.8519 | 0.1364 |
| 2003-07 | 0.0050 | 0.9038 | 0.0911 |
| 2003-08 | 0.0533 | 0.9140 | 0.0327 |
| 2003-09 | 0.0127 | 0.9384 | 0.0489 |
| 2003-10 | 0.0193 | 0.9525 | 0.0282 |
| 2003-11 | 0.0541 | 0.9259 | 0.0199 |
| 2003-12 | 0.0988 | 0.8834 | 0.0178 |
| 2004-01 | 0.0807 | 0.8874 | 0.0319 |
| 2004-02 | 0.3162 | 0.6680 | 0.0157 |
| 2004-03 | 0.0790 | 0.9019 | 0.0191 |
| 2004-04 | 0.0470 | 0.8993 | 0.0537 |
| 2004-05 | 0.0717 | 0.9056 | 0.0227 |
| 2004-06 | 0.1927 | 0.7923 | 0.0150 |
| 2004-07 | 0.1499 | 0.8121 | 0.0380 |
| 2004-08 | 0.0744 | 0.9030 | 0.0225 |
| 2004-09 | 0.1672 | 0.8192 | 0.0136 |
| 2004-10 | 0.0859 | 0.8802 | 0.0339 |
| 2004-11 | 0.2290 | 0.7564 | 0.0145 |
| 2004-12 | 0.4026 | 0.5897 | 0.0077 |
| 2005-01 | 0.5286 | 0.4659 | 0.0055 |
| 2005-02 | 0.5691 | 0.4260 | 0.0049 |
| 2005-03 | 0.8766 | 0.1214 | 0.0020 |
| 2005-04 | 0.1359 | 0.8246 | 0.0395 |
| 2005-05 | 0.2100 | 0.7786 | 0.0114 |
| 2005-06 | 0.9790 | 0.0204 | 0.0006 |
| 2005-07 | 0.9853 | 0.0146 | 0.0002 |
| 2005-08 | 0.9910 | 0.0089 | 0.0001 |
| 2005-09 | 0.9774 | 0.0225 | 0.0001 |
| 2005-10 | 0.7309 | 0.2624 | 0.0067 |
| 2005-11 | 0.9402 | 0.0584 | 0.0014 |
| 2005-12 | 0.9974 | 0.0024 | 0.0002 |
| 2006-01 | 0.9790 | 0.0209 | 0.0001 |
| 2006-02 | 0.9908 | 0.0091 | 0.0001 |
| 2006-03 | 0.9977 | 0.0023 | 0.0000 |
| 2006-04 | 0.9881 | 0.0119 | 0.0000 |
| 2006-05 | 0.9665 | 0.0332 | 0.0003 |
| 2006-06 | 0.8128 | 0.1833 | 0.0039 |
| 2006-07 | 0.5992 | 0.3896 | 0.0112 |
| 2006-08 | 0.8848 | 0.1129 | 0.0023 |
| 2006-09 | 0.9563 | 0.0430 | 0.0007 |
| 2006-10 | 0.9896 | 0.0102 | 0.0002 |
| 2006-11 | 0.9954 | 0.0045 | 0.0001 |
| 2006-12 | 0.9999 | 0.0001 | 0.0000 |
| 2007-01 | 0.9843 | 0.0157 | 0.0000 |
| 2007-02 | 0.9989 | 0.0010 | 0.0001 |
| 2007-03 | 0.9966 | 0.0033 | 0.0000 |
| 2007-04 | 0.9973 | 0.0027 | 0.0000 |
| 2007-05 | 0.9966 | 0.0034 | 0.0000 |
| 2007-06 | 0.9922 | 0.0077 | 0.0001 |
| 2007-07 | 0.8628 | 0.1357 | 0.0015 |
| 2007-08 | 0.0364 | 0.2687 | 0.6949 |
| 2007-09 | 0.0655 | 0.5948 | 0.3397 |
| 2007-10 | 0.0414 | 0.5580 | 0.4006 |
| 2007-11 | 0.0000 | 0.0024 | 0.9975 |
| 2007-12 | 0.0001 | 0.3495 | 0.6504 |
| 2008-01 | 0.0000 | 0.0000 | 1.0000 |
| 2008-02 | 0.0000 | 0.0460 | 0.9540 |
| 2008-03 | 0.0000 | 0.0002 | 0.9998 |
| 2008-04 | 0.0000 | 0.0170 | 0.9830 |
| 2008-05 | 0.0005 | 0.1961 | 0.8035 |
| 2008-06 | 0.0000 | 0.0340 | 0.9659 |
| 2008-07 | 0.0000 | 0.0000 | 1.0000 |
| 2008-08 | 0.0000 | 0.0380 | 0.9620 |
| 2008-09 | 0.0000 | 0.0000 | 1.0000 |
| 2008-10 | 0.0000 | 0.0000 | 1.0000 |
| 2008-11 | 0.0000 | 0.0000 | 1.0000 |
| 2008-12 | 0.0000 | 0.0001 | 0.9999 |
| 2009-01 | 0.0000 | 0.0000 | 1.0000 |
| 2009-02 | 0.0000 | 0.0043 | 0.9957 |
| 2009-03 | 0.0000 | 0.0000 | 1.0000 |
| 2009-04 | 0.0000 | 0.0020 | 0.9980 |
| 2009-05 | 0.0000 | 0.0119 | 0.9881 |
| 2009-06 | 0.0003 | 0.3125 | 0.6873 |
| 2009-07 | 0.0041 | 0.6014 | 0.3945 |
| 2009-08 | 0.0189 | 0.8425 | 0.1386 |
| 2009-09 | 0.0353 | 0.9061 | 0.0586 |
| 2009-10 | 0.0063 | 0.8916 | 0.1022 |
| 2009-11 | 0.1092 | 0.8433 | 0.0475 |
| 2009-12 | 0.2927 | 0.6842 | 0.0231 |
| 2010-01 | 0.0741 | 0.8618 | 0.0641 |
| 2010-02 | 0.0946 | 0.8704 | 0.0350 |
| 2010-03 | 0.3672 | 0.6151 | 0.0178 |
| 2010-04 | 0.1111 | 0.8364 | 0.0525 |
| 2010-05 | 0.0031 | 0.7992 | 0.1977 |
| 2010-06 | 0.0011 | 0.7065 | 0.2924 |
| 2010-07 | 0.0048 | 0.8330 | 0.1623 |
| 2010-08 | 0.0150 | 0.8992 | 0.0858 |
| 2010-09 | 0.0186 | 0.9307 | 0.0507 |
| 2010-10 | 0.0185 | 0.9441 | 0.0374 |
| 2010-11 | 0.0147 | 0.9498 | 0.0355 |
| 2010-12 | 0.1728 | 0.8054 | 0.0218 |
| 2011-01 | 0.0638 | 0.8869 | 0.0494 |
| 2011-02 | 0.0749 | 0.9001 | 0.0250 |
| 2011-03 | 0.0367 | 0.9393 | 0.0240 |
| 2011-04 | 0.1442 | 0.8396 | 0.0162 |
| 2011-05 | 0.1591 | 0.8247 | 0.0162 |
| 2011-06 | 0.0451 | 0.9315 | 0.0234 |
| 2011-07 | 0.0329 | 0.9451 | 0.0220 |
| 2011-08 | 0.0000 | 0.0014 | 0.9986 |
| 2011-09 | 0.0000 | 0.0250 | 0.9750 |
| 2011-10 | 0.0000 | 0.0009 | 0.9991 |
| 2011-11 | 0.0000 | 0.1525 | 0.8475 |
| 2011-12 | 0.0008 | 0.4109 | 0.5883 |
| 2012-01 | 0.0201 | 0.8804 | 0.0995 |
| 2012-02 | 0.1338 | 0.8333 | 0.0329 |
| 2012-03 | 0.0776 | 0.8933 | 0.0291 |
| 2012-04 | 0.0334 | 0.9267 | 0.0399 |
| 2012-05 | 0.0275 | 0.9408 | 0.0317 |
| 2012-06 | 0.0079 | 0.9448 | 0.0473 |
Figure 4 Data: Recursive Real-time Probabilities of the Volatility Regimes
| Date | Panel a | Panel b | Panel c |
|---|---|---|---|
| 1997-01 | 0.7755 | 0.2230 | 0.0015 |
| 1997-02 | 0.5722 | 0.4244 | 0.0034 |
| 1997-03 | 0.0251 | 0.9555 | 0.0194 |
| 1997-04 | 0.0038 | 0.9497 | 0.0464 |
| 1997-05 | 0.0136 | 0.9705 | 0.0159 |
| 1997-06 | 0.0168 | 0.9749 | 0.0083 |
| 1997-07 | 0.0109 | 0.9797 | 0.0094 |
| 1997-08 | 0.0165 | 0.9760 | 0.0075 |
| 1997-09 | 0.0238 | 0.9672 | 0.0090 |
| 1997-10 | 0.0006 | 0.0789 | 0.9206 |
| 1997-11 | 0.0007 | 0.9721 | 0.0272 |
| 1997-12 | 0.0039 | 0.7603 | 0.2357 |
| 1998-01 | 0.0053 | 0.9131 | 0.0816 |
| 1998-02 | 0.1346 | 0.8410 | 0.0244 |
| 1998-03 | 0.0576 | 0.9257 | 0.0167 |
| 1998-04 | 0.0229 | 0.9617 | 0.0154 |
| 1998-05 | 0.1140 | 0.8774 | 0.0086 |
| 1998-06 | 0.0325 | 0.9563 | 0.0112 |
| 1998-07 | 0.0162 | 0.9728 | 0.0110 |
| 1998-08 | 0.0008 | 0.7355 | 0.2636 |
| 1998-09 | 0.0000 | 0.0016 | 0.9984 |
| 1998-10 | 0.0000 | 0.0000 | 1.0000 |
| 1998-11 | 0.0000 | 0.6518 | 0.3482 |
| 1998-12 | 0.0004 | 0.3272 | 0.6723 |
| 1999-01 | 0.0007 | 0.3364 | 0.6630 |
| 1999-02 | 0.0009 | 0.3073 | 0.6918 |
| 1999-03 | 0.0046 | 0.7698 | 0.2257 |
| 1999-04 | 0.0000 | 0.0171 | 0.9829 |
| 1999-05 | 0.0001 | 0.3832 | 0.6167 |
| 1999-06 | 0.0006 | 0.3445 | 0.6548 |
| 1999-07 | 0.0281 | 0.9028 | 0.0690 |
| 1999-08 | 0.0091 | 0.9415 | 0.0494 |
| 1999-09 | 0.0119 | 0.9569 | 0.0313 |
| 1999-10 | 0.0004 | 0.3831 | 0.6165 |
| 1999-11 | 0.0043 | 0.8804 | 0.1153 |
| 1999-12 | 0.0051 | 0.9523 | 0.0425 |
| 2000-01 | 0.0000 | 0.0868 | 0.9132 |
| 2000-02 | 0.0007 | 0.5249 | 0.4744 |
| 2000-03 | 0.0000 | 0.0048 | 0.9952 |
| 2000-04 | 0.0000 | 0.0000 | 1.0000 |
| 2000-05 | 0.0000 | 0.0169 | 0.9831 |
| 2000-06 | 0.0000 | 0.0673 | 0.9327 |
| 2000-07 | 0.0002 | 0.1483 | 0.8516 |
| 2000-08 | 0.0219 | 0.7424 | 0.2357 |
| 2000-09 | 0.0062 | 0.7853 | 0.2085 |
| 2000-10 | 0.0000 | 0.0029 | 0.9971 |
| 2000-11 | 0.0000 | 0.0178 | 0.9822 |
| 2000-12 | 0.0000 | 0.0014 | 0.9986 |
| 2001-01 | 0.0000 | 0.0001 | 0.9999 |
| 2001-02 | 0.0000 | 0.1903 | 0.8097 |
| 2001-03 | 0.0000 | 0.0116 | 0.9884 |
| 2001-04 | 0.0000 | 0.0014 | 0.9986 |
| 2001-05 | 0.0000 | 0.3790 | 0.6210 |
| 2001-06 | 0.0120 | 0.8060 | 0.1820 |
| 2001-07 | 0.0043 | 0.8467 | 0.1490 |
| 2001-08 | 0.0285 | 0.9072 | 0.0642 |
| 2001-09 | 0.0001 | 0.0635 | 0.9365 |
| 2001-10 | 0.0001 | 0.0691 | 0.9308 |
| 2001-11 | 0.0016 | 0.3654 | 0.6330 |
| 2001-12 | 0.0075 | 0.7475 | 0.2450 |
| 2002-01 | 0.0053 | 0.8616 | 0.1331 |
| 2002-02 | 0.0095 | 0.9141 | 0.0764 |
| 2002-03 | 0.0095 | 0.9426 | 0.0479 |
| 2002-04 | 0.0037 | 0.9120 | 0.0843 |
| 2002-05 | 0.0008 | 0.6030 | 0.3963 |
| 2002-06 | 0.0019 | 0.6377 | 0.3605 |
| 2002-07 | 0.0000 | 0.0001 | 0.9999 |
| 2002-08 | 0.0000 | 0.0269 | 0.9731 |
| 2002-09 | 0.0000 | 0.0170 | 0.9830 |
| 2002-10 | 0.0000 | 0.0000 | 1.0000 |
| 2002-11 | 0.0000 | 0.0151 | 0.9849 |
| 2002-12 | 0.0004 | 0.4703 | 0.5293 |
| 2003-01 | 0.0003 | 0.2500 | 0.7497 |
| 2003-02 | 0.0132 | 0.6265 | 0.3602 |
| 2003-03 | 0.0005 | 0.2419 | 0.7577 |
| 2003-04 | 0.0006 | 0.2950 | 0.7044 |
| 2003-05 | 0.0068 | 0.6364 | 0.3568 |
| 2003-06 | 0.0116 | 0.8519 | 0.1364 |
| 2003-07 | 0.0050 | 0.9038 | 0.0911 |
| 2003-08 | 0.0533 | 0.9140 | 0.0327 |
| 2003-09 | 0.0127 | 0.9384 | 0.0489 |
| 2003-10 | 0.0193 | 0.9525 | 0.0282 |
| 2003-11 | 0.0541 | 0.9259 | 0.0199 |
| 2003-12 | 0.0988 | 0.8834 | 0.0178 |
| 2004-01 | 0.0807 | 0.8874 | 0.0319 |
| 2004-02 | 0.3162 | 0.6680 | 0.0157 |
| 2004-03 | 0.0790 | 0.9019 | 0.0191 |
| 2004-04 | 0.0470 | 0.8993 | 0.0537 |
| 2004-05 | 0.0717 | 0.9056 | 0.0227 |
| 2004-06 | 0.1927 | 0.7923 | 0.0150 |
| 2004-07 | 0.1499 | 0.8121 | 0.0380 |
| 2004-08 | 0.0744 | 0.9030 | 0.0225 |
| 2004-09 | 0.1672 | 0.8192 | 0.0136 |
| 2004-10 | 0.0859 | 0.8802 | 0.0339 |
| 2004-11 | 0.2290 | 0.7564 | 0.0145 |
| 2004-12 | 0.4026 | 0.5897 | 0.0077 |
| 2005-01 | 0.5286 | 0.4659 | 0.0055 |
| 2005-02 | 0.5691 | 0.4260 | 0.0049 |
| 2005-03 | 0.8766 | 0.1214 | 0.0020 |
| 2005-04 | 0.1359 | 0.8246 | 0.0395 |
| 2005-05 | 0.2100 | 0.7786 | 0.0114 |
| 2005-06 | 0.9790 | 0.0204 | 0.0006 |
| 2005-07 | 0.9853 | 0.0146 | 0.0002 |
| 2005-08 | 0.9910 | 0.0089 | 0.0001 |
| 2005-09 | 0.9774 | 0.0225 | 0.0001 |
| 2005-10 | 0.7309 | 0.2624 | 0.0067 |
| 2005-11 | 0.9402 | 0.0584 | 0.0014 |
| 2005-12 | 0.9974 | 0.0024 | 0.0002 |
| 2006-01 | 0.9790 | 0.0209 | 0.0001 |
| 2006-02 | 0.9908 | 0.0091 | 0.0001 |
| 2006-03 | 0.9977 | 0.0023 | 0.0000 |
| 2006-04 | 0.9881 | 0.0119 | 0.0000 |
| 2006-05 | 0.9665 | 0.0332 | 0.0003 |
| 2006-06 | 0.8128 | 0.1833 | 0.0039 |
| 2006-07 | 0.5992 | 0.3896 | 0.0112 |
| 2006-08 | 0.8848 | 0.1129 | 0.0023 |
| 2006-09 | 0.9563 | 0.0430 | 0.0007 |
| 2006-10 | 0.9896 | 0.0102 | 0.0002 |
| 2006-11 | 0.9954 | 0.0045 | 0.0001 |
| 2006-12 | 0.9999 | 0.0001 | 0.0000 |
| 2007-01 | 0.9843 | 0.0157 | 0.0000 |
| 2007-02 | 0.9989 | 0.0010 | 0.0001 |
| 2007-03 | 0.9966 | 0.0033 | 0.0000 |
| 2007-04 | 0.9973 | 0.0027 | 0.0000 |
| 2007-05 | 0.9966 | 0.0034 | 0.0000 |
| 2007-06 | 0.9922 | 0.0077 | 0.0001 |
| 2007-07 | 0.8628 | 0.1357 | 0.0015 |
| 2007-08 | 0.0364 | 0.2687 | 0.6949 |
| 2007-09 | 0.0655 | 0.5948 | 0.3397 |
| 2007-10 | 0.0414 | 0.5580 | 0.4006 |
| 2007-11 | 0.0000 | 0.0024 | 0.9975 |
| 2007-12 | 0.0001 | 0.3495 | 0.6504 |
| 2008-01 | 0.0000 | 0.0000 | 1.0000 |
| 2008-02 | 0.0000 | 0.0460 | 0.9540 |
| 2008-03 | 0.0000 | 0.0002 | 0.9998 |
| 2008-04 | 0.0000 | 0.0170 | 0.9830 |
| 2008-05 | 0.0005 | 0.1961 | 0.8035 |
| 2008-06 | 0.0000 | 0.0340 | 0.9659 |
| 2008-07 | 0.0000 | 0.0000 | 1.0000 |
| 2008-08 | 0.0000 | 0.0380 | 0.9620 |
| 2008-09 | 0.0000 | 0.0000 | 1.0000 |
| 2008-10 | 0.0000 | 0.0000 | 1.0000 |
| 2008-11 | 0.0000 | 0.0000 | 1.0000 |
| 2008-12 | 0.0000 | 0.0001 | 0.9999 |
| 2009-01 | 0.0000 | 0.0000 | 1.0000 |
| 2009-02 | 0.0000 | 0.0043 | 0.9957 |
| 2009-03 | 0.0000 | 0.0000 | 1.0000 |
| 2009-04 | 0.0000 | 0.0020 | 0.9980 |
| 2009-05 | 0.0000 | 0.0119 | 0.9881 |
| 2009-06 | 0.0003 | 0.3125 | 0.6873 |
| 2009-07 | 0.0041 | 0.6014 | 0.3945 |
| 2009-08 | 0.0189 | 0.8425 | 0.1386 |
| 2009-09 | 0.0353 | 0.9061 | 0.0586 |
| 2009-10 | 0.0063 | 0.8916 | 0.1022 |
| 2009-11 | 0.1092 | 0.8433 | 0.0475 |
| 2009-12 | 0.2927 | 0.6842 | 0.0231 |
| 2010-01 | 0.0741 | 0.8618 | 0.0641 |
| 2010-02 | 0.0946 | 0.8704 | 0.0350 |
| 2010-03 | 0.3672 | 0.6151 | 0.0178 |
| 2010-04 | 0.1111 | 0.8364 | 0.0525 |
| 2010-05 | 0.0031 | 0.7992 | 0.1977 |
| 2010-06 | 0.0011 | 0.7065 | 0.2924 |
| 2010-07 | 0.0048 | 0.8330 | 0.1623 |
| 2010-08 | 0.0150 | 0.8992 | 0.0858 |
| 2010-09 | 0.0186 | 0.9307 | 0.0507 |
| 2010-10 | 0.0185 | 0.9441 | 0.0374 |
| 2010-11 | 0.0147 | 0.9498 | 0.0355 |
| 2010-12 | 0.1728 | 0.8054 | 0.0218 |
| 2011-01 | 0.0638 | 0.8869 | 0.0494 |
| 2011-02 | 0.0749 | 0.9001 | 0.0250 |
| 2011-03 | 0.0367 | 0.9393 | 0.0240 |
| 2011-04 | 0.1442 | 0.8396 | 0.0162 |
| 2011-05 | 0.1591 | 0.8247 | 0.0162 |
| 2011-06 | 0.0451 | 0.9315 | 0.0234 |
| 2011-07 | 0.0329 | 0.9451 | 0.0220 |
| 2011-08 | 0.0000 | 0.0014 | 0.9986 |
| 2011-09 | 0.0000 | 0.0250 | 0.9750 |
| 2011-10 | 0.0000 | 0.0009 | 0.9991 |
| 2011-11 | 0.0000 | 0.1525 | 0.8475 |
| 2011-12 | 0.0008 | 0.4109 | 0.5883 |
| 2012-01 | 0.0201 | 0.8804 | 0.0995 |
| 2012-02 | 0.1338 | 0.8333 | 0.0329 |
| 2012-03 | 0.0776 | 0.8933 | 0.0291 |
| 2012-04 | 0.0334 | 0.9267 | 0.0399 |
| 2012-05 | 0.0275 | 0.9408 | 0.0317 |
| 2012-06 | 0.0079 | 0.9448 | 0.0473 |
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