Fear and regret have two things in common.
First, they both are based on events that don’t exist in the present time.
Second, they both arise out of your desire to control. Wanting to either see a certain future or to change the past.
There is another way to look at the feelings of fear and regret.
Fear shows aspiration and hope. You are afraid of skydiving or starting a company, only if you aspire to do so.
Regret, on the other hand, relates to advancement and improvement. It shows you have learnt something and know better now, as compared to the past.
In either case, all you can do is to control the efforts in the present.