Version 2 update (March 2026): This version adds supplementary robustness code and results in response to peer review. The new materials (folder robustness/) include: robustness_analysis.py — Python script for all supplementary diagnostics results/ — CSV files with intermediate calculations and four figures (C1–C4) New analyses added: Structural break detection (binary segmentation, L2 cost) for all rolling risk series Rolling Hill tail index estimation (365-day windows) with Newey–West trend tests Rolling GARCH(1,1) persistence (α+β) analysis SMA(200) regime robustness check Block-bootstrap 95% confidence intervals for exceedance correlations Non-overlapping annual window R² verification These results are reported in Section 4.5 and Appendix C of the revised manuscript. See robustness/README.md for details and requirements.