Arbeitspapier
The Variance Risk Premium and Fundamental Uncertainty
We propose a new measure of the expected variance risk premium that is based on a forecast of the conditional variance from a GARCH-MIDAS model. We find that the new measure has strong predictive ability for future U.S. aggregate stock market returns and rationalize this result by showing that the new measure effectively isolates fundamental uncertainty as the factor that drives the variance risk premium.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series ; No. 583
- Klassifikation
-
Wirtschaft
- Thema
-
Variance risk premium
return predictability
VIX
GARCH-MIDAS
economic uncertainty
vol-of-vol
Risikoprämie
Streuungsmaß
Kapitalmarktrendite
ARCH-Modell
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Conrad, Christian
Loch, Karin
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Heidelberg, Department of Economics
- (wo)
-
Heidelberg
- (wann)
-
2015
- DOI
-
doi:10.11588/heidok.00018312
- Handle
- URN
-
urn:nbn:de:bsz:16-heidok-183127
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Conrad, Christian
- Loch, Karin
- University of Heidelberg, Department of Economics
Entstanden
- 2015
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