  In this study, we consider a four-regime bubble model under the assumption of
time-varying volatility and propose the algorithm of estimating the break dates
with volatility correction: First, we estimate the emerging date of the
explosive bubble, its collapsing date, and the recovering date to the normal
market under assumption of homoskedasticity; second, we collect the residuals
and then employ the WLS-based estimation of the bubble dates. We demonstrate by
Monte Carlo simulations that the accuracy of the break dates estimators improve
significantly by this two-step procedure in some cases compared to those based
on the OLS method.
