ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS? EVIDENCE FROM IMPLIED VOLATILITY INDICES

Figure 2. Inferred probabilities of regime1 for S&P 500 implied volatility index
(Model 4 of expected volatility levels)

Figure 3. Inferred probabilities of regime1 for Nikkei 225 implied volatility index
(Model 4 of expected volatility levels)

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