Term spreads of implied volatility smirk and variance risk premium
نویسندگان
چکیده
In this paper, we study the pattern of S&P 500 index options implied volatility (IV) curves and their predictive ability for variance risk premium (VRP). We explore predictability employing by Zhang Xiang IV factor estimation. show that level term spread significantly predicts VRP, proxied straddle returns swap returns, in both in-sample out-of-sample tests. The is more pronounced rather than returns.
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2023
ISSN: ['0270-7314', '1096-9934']
DOI: https://doi.org/10.1002/fut.22409