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1======================================================================2SUBPERIOD & REGIME ANALYSIS3======================================================================45--- A. SUBPERIOD ANALYSIS ---6 Pre-GFC Recovery (2010-2012) | 1D: R²=0.004553, N=8,565, Sig=27 Pre-GFC Recovery (2010-2012) | 5D: R²=0.007860, N=8,565, Sig=48 Bull Market (2013-2016) | 1D: R²=0.004585, N=25,950, Sig=39 Bull Market (2013-2016) | 5D: R²=0.021398, N=25,950, Sig=810 Low Vol Era (2017-2018) | 1D: R²=0.001513, N=16,271, Sig=011 Low Vol Era (2017-2018) | 5D: R²=0.001312, N=16,271, Sig=112 Pre-COVID (2019) | 1D: R²=0.003227, N=8,374, Sig=013 Pre-COVID (2019) | 5D: R²=0.007807, N=8,374, Sig=414 COVID Period (2020) | 1D: R²=0.017858, N=8,892, Sig=515 COVID Period (2020) | 5D: R²=0.041757, N=8,892, Sig=616 Post-COVID Bull (2021) | 1D: R²=0.007537, N=9,734, Sig=317 Post-COVID Bull (2021) | 5D: R²=0.010553, N=9,734, Sig=318 Rate Hiking (2022) | 1D: R²=0.010038, N=10,068, Sig=719 Rate Hiking (2022) | 5D: R²=0.037250, N=10,068, Sig=720 Recovery (2023-2024) | 1D: R²=0.005715, N=20,396, Sig=421 Recovery (2023-2024) | 5D: R²=0.017824, N=20,396, Sig=722 Recent (2025) | 1D: R²=0.007011, N=10,831, Sig=523 Recent (2025) | 5D: R²=0.014640, N=10,831, Sig=62425 RV Forecasting by subperiod:26 Pre-GFC Recovery (2010-2012) | HAR-RV: R²=0.20462627 Pre-GFC Recovery (2010-2012) | HAR+IV: R²=0.24970728 Bull Market (2013-2016) | HAR-RV: R²=0.23646729 Bull Market (2013-2016) | HAR+IV: R²=0.33499230 Low Vol Era (2017-2018) | HAR-RV: R²=0.06958131 Low Vol Era (2017-2018) | HAR+IV: R²=0.14902232 Pre-COVID (2019) | HAR-RV: R²=0.20355333 Pre-COVID (2019) | HAR+IV: R²=0.28058634 COVID Period (2020) | HAR-RV: R²=0.70897235 COVID Period (2020) | HAR+IV: R²=0.73938736 Post-COVID Bull (2021) | HAR-RV: R²=0.39819537 Post-COVID Bull (2021) | HAR+IV: R²=0.43642738 Rate Hiking (2022) | HAR-RV: R²=0.33562539 Rate Hiking (2022) | HAR+IV: R²=0.41523140 Recovery (2023-2024) | HAR-RV: R²=0.26828341 Recovery (2023-2024) | HAR+IV: R²=0.34195242 Recent (2025) | HAR-RV: R²=0.34022843 Recent (2025) | HAR+IV: R²=0.3834254445--- B. VIX REGIME ANALYSIS ---46 VIX VeryLow | 1D: R²=0.000741, N=43,91347 VIX VeryLow | 5D: R²=0.001143, N=43,91348 VIX VeryLow | RV_1D: R²=0.346289, N=43,91749 VIX Low | 1D: R²=0.000598, N=40,01850 VIX Low | 5D: R²=0.001862, N=40,01851 VIX Low | RV_1D: R²=0.297782, N=40,02152 VIX Medium | 1D: R²=0.002085, N=19,02953 VIX Medium | 5D: R²=0.005471, N=19,02954 VIX Medium | RV_1D: R²=0.352692, N=19,03155 VIX High | 1D: R²=0.010138, N=13,06956 VIX High | 5D: R²=0.012650, N=13,06957 VIX High | RV_1D: R²=0.372585, N=13,07258 VIX Crisis | 1D: R²=0.023188, N=2,52959 VIX Crisis | 5D: R²=0.029850, N=2,52960 VIX Crisis | RV_1D: R²=0.622593, N=2,5296162--- C. ROLLING WINDOW R² (252-day) ---63 120 rolling windows computed6465 5D_Return: mean R²=0.022232, min=0.005404, max=0.057645, std=0.0139066667 1D_RV: mean R²=0.318839, min=0.029169, max=0.769153, std=0.1552546869--- D. PRE vs POST COVID COMPARISON ---70 Pre-COVID | 1D: R²=0.00199471 Pre-COVID | 5D: R²=0.00277472 Pre-COVID | HAR-RV: R²=0.26764073 Pre-COVID | HAR+IV: R²=0.35827574 Post-COVID | 1D: R²=0.00117775 Post-COVID | 5D: R²=0.00384576 Post-COVID | HAR-RV: R²=0.56548577 Post-COVID | HAR+IV: R²=0.5911877879SUBPERIOD & REGIME ANALYSIS COMPLETE.80real 18,9381user 18,5882sys 0,4983