Realized GARCH, CBOE VIX, and the Volatility Risk Premium
نویسندگان
چکیده
Abstract We show that the realized GARCH model yields closed-form expression for both volatility index (VIX) and risk premium (VRP). The is driven by two shocks, a return shock shock, these are natural state variables in stochastic discount factor (SDF). endows exponentially affine SDF with compensation risk. This leads to dissimilar dynamic properties under physical risk-neutral measures can explain time-variation VRP. In an empirical application S&P 500 returns, VIX, VRP, we find significantly outperforms conventional models.
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2022
ISSN: ['1479-8409', '1479-8417']
DOI: https://doi.org/10.1093/jjfinec/nbac033