Boundedly Rational Overconfidence vis-a-vis Boundedly Irrational Overconfidence

The data are average monthly returns on the S&P500 whose Autoregressive Conditional Heteroscedasticity (ARCH) properties are examined using the formally and theoretically predicted dichotomous autoregressive specifications for the return processes which accrue to either of boundedly rational overconfident agents, or boundedly irrational overconfident agents in Obrimah (2022), which is titled, "Analytical Closed-form Parameterizations for Bounded Rationality of either of Overconfidence or Underconfidence". The code that is implemented in the study for generation of the study results is included in this data submission.