You believe that the VIX trades in regimes where its average level is significantly different.You define four regimes from 2004 through 2020: June 2008 through October 2011 (financial crisis); the 12-month transition periods before and after the financial crisis; February 2020 through May 2020 (the COVID-19 crisis); and the remaining periods of low volatility.In order to test your hypothesis, you examine month-end values of the VIX from January 2004 through May 2020 (197 observations) and conduct the following regression:

Dependent variable Y:Month-end value of VIX

Dummy variable X1:Financial Crisis:1 if between June 2008 through Oct 2011, 0 if not

Dummy variable X2:Transition period: 1 if in 12 months before or after the financial crisis (June 2007 - May 2008, or Nov 2011 - Oct 2012)

Dummy variable X3:COVID-19 crisis:1 if between Feb 2020 through May 2020, 0 if not

The results for the regression are as follows