This note teaches students to compare a relationship across calm, transition, and stress regimes instead of treating one average as the whole story.
Research Note
Regime-Dependent Volatility Sensitivity
A student-readable note on how volatility sensitivity can change across market regimes and why crisis-period interpretation needs extra care.
Question
Does volatility sensitivity stay stable across market regimes, or does it become stronger when the market enters stress? The student task is to compare conditions rather than memorize one coefficient.
Method
Separate the sample into regime states, compare volatility response inside each state, and document whether sentiment, liquidity, or event timing changes the interpretation.
Result
The teaching result is regime dependence: a relationship that looks mild in calm periods can become more important under stress.
Limitation
The result is historical structure, not a forecast. A student should state the asset, sample window, data frequency, and model assumptions before using the finding.
Visual Interpretation
Plot price path, drawdown, realized volatility, VIX-like stress, and liquidity together. The point is to see whether volatility rises alone or together with broader market stress.
Research Boundary
Education only.
Educational only. RegimeForge does not provide investment, legal, accounting, tax, or trading advice.
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