| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18995 |
| 来源ID | Working Paper 18995 |
| The VIX, the Variance Premium and Stock Market Volatility | |
| Geert Bekaert; Marie Hoerova | |
| 发表日期 | 2013-04-25 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. The latter is increasing in risk aversion in a wide variety of economic settings. We tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the predictive power of the VIX and its two components for stock market returns and economic activity. The variance premium predicts stock returns but the conditional stock market variance predicts economic activity, and is more contemporaneously correlated with financial instability than is the variance premium. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18995 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576669 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Marie Hoerova. The VIX, the Variance Premium and Stock Market Volatility. 2013. |
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