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SUBPERIOD & REGIME ANALYSIS
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--- A. SUBPERIOD ANALYSIS ---
  Pre-GFC Recovery (2010-2012) | 1D: R²=0.004553, N=8,565, Sig=2
  Pre-GFC Recovery (2010-2012) | 5D: R²=0.030907, N=8,565, Sig=7
  Bull Market (2013-2016) | 1D: R²=0.004585, N=25,950, Sig=3
  Bull Market (2013-2016) | 5D: R²=0.075441, N=25,950, Sig=10
  Low Vol Era (2017-2018) | 1D: R²=0.001513, N=16,271, Sig=0
  Low Vol Era (2017-2018) | 5D: R²=0.136191, N=16,271, Sig=9
  Pre-COVID (2019) | 1D: R²=0.003227, N=8,374, Sig=0
  Pre-COVID (2019) | 5D: R²=0.079744, N=8,374, Sig=6
  COVID Period (2020) | 1D: R²=0.017858, N=8,892, Sig=5
  COVID Period (2020) | 5D: R²=0.144437, N=8,892, Sig=9
  Post-COVID Bull (2021) | 1D: R²=0.007537, N=9,734, Sig=3
  Post-COVID Bull (2021) | 5D: R²=0.035705, N=9,734, Sig=8
  Rate Hiking (2022) | 1D: R²=0.010038, N=10,068, Sig=7
  Rate Hiking (2022) | 5D: R²=0.084292, N=10,068, Sig=10
  Recovery (2023-2024) | 1D: R²=0.005715, N=20,396, Sig=4
  Recovery (2023-2024) | 5D: R²=0.051809, N=20,396, Sig=8
  Recent (2025) | 1D: R²=0.007011, N=10,831, Sig=5
  Recent (2025) | 5D: R²=0.037489, N=10,831, Sig=7

  RV Forecasting by subperiod:
  Pre-GFC Recovery (2010-2012) | HAR-RV: R²=0.343758
  Pre-GFC Recovery (2010-2012) | HAR+IV: R²=0.392095
  Bull Market (2013-2016) | HAR-RV: R²=0.341638
  Bull Market (2013-2016) | HAR+IV: R²=0.336050
  Low Vol Era (2017-2018) | HAR-RV: R²=0.309402
  Low Vol Era (2017-2018) | HAR+IV: R²=0.419184
  Pre-COVID (2019) | HAR-RV: R²=0.279508
  Pre-COVID (2019) | HAR+IV: R²=0.363255
  COVID Period (2020) | HAR-RV: R²=0.603843
  COVID Period (2020) | HAR+IV: R²=0.720927
  Post-COVID Bull (2021) | HAR-RV: R²=0.376172
  Post-COVID Bull (2021) | HAR+IV: R²=0.439624
  Rate Hiking (2022) | HAR-RV: R²=0.386563
  Rate Hiking (2022) | HAR+IV: R²=0.470806
  Recovery (2023-2024) | HAR-RV: R²=0.290370
  Recovery (2023-2024) | HAR+IV: R²=0.390172
  Recent (2025) | HAR-RV: R²=0.320827
  Recent (2025) | HAR+IV: R²=0.401901

--- B. VIX REGIME ANALYSIS ---
  [Section B skipped — raw stores unavailable; existing regime_results.csv left untouched]
  Raw store 'index_5min.duckdb' not found under /Users/simon-pierreboucher/Desktop/wp7_uqo/data/raw.
These stores (~3.8B option records / 11.5B intraday bars) are kept outside the repository. Point WP7_RAW_DATA_DIR to the directory that contains them, or skip the raw-dependent steps — every downstream analysis runs from the processed parquets in data/processed/.

--- C. ROLLING WINDOW R² (252-day) ---
  120 rolling windows computed

  5D_Return: mean R²=0.079942, min=0.021352, max=0.178893, std=0.044522

  1D_RV: mean R²=0.412446, min=0.257679, max=0.756025, std=0.107310

--- D. PRE vs POST COVID COMPARISON ---
  Pre-COVID | 1D: R²=0.001994
  Pre-COVID | 5D: R²=0.070884
  Pre-COVID | HAR-RV: R²=0.346303
  Pre-COVID | HAR+IV: R²=0.381442
  Post-COVID | 1D: R²=0.001177
  Post-COVID | 5D: R²=0.051770
  Post-COVID | HAR-RV: R²=0.462938
  Post-COVID | HAR+IV: R²=0.570581

SUBPERIOD & REGIME ANALYSIS COMPLETE.