The pricing of volatility risk in the US equity market

We analyze whether the pricing of volatility risk depends on asset framework applied in tests, specified proxies, and portfolio sorts used for spanning universe. For this purpose, we compare results using a macroeconomic fundamental based model three proxies uncertainty, size/value sorted industry sector portfolios. Our reveal that marginal effect VIX factor is strong statistically significant throughout models specifications, while an EGARCH-based mixed, mostly smaller but with correct sign. In most cases, EGARCH does not impair VIX. The have substantial impact premiums both frameworks. size premium more uniform across if sort used. Finally, generates larger models.