Term spreads of implied volatility smirk and variance risk premium

被引：1

作者：

Guo, Wei ^{[1
]}

Ruan, Xinfeng ^{[2
,3
,4
]}

Gehricke, Sebastian A. ^{[3
]}

Zhang, Jin E. ^{[3
,5
]}

机构：

[1] Univ Shanghai Sci & Technol, Business Sch, Dept Finance, Shanghai, Peoples R China

[2] Xian Jiaotong Liverpool Univ, Int Business Sch Suzhou, Dept Finance, Suzhou, Peoples R China

[3] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin, New Zealand

[4] Xian Jiaotong Liverpool Univ, Int Business Sch Suzhou, Dept Finance, Suzhou 215000, Peoples R China

[5] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin 9054, New Zealand

来源：

JOURNAL OF FUTURES MARKETS | 2023年 / 43卷 / 07期

关键词：

implied volatility; prediction; SPX options; term spread; variance risk premium; EXPECTED STOCK RETURNS; JUMP-RISK; OPTIONS; PERFORMANCE; US;

D O I：

10.1002/fut.22409

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we study the pattern of S&P 500 index options implied volatility (IV) curves and their predictive ability for the variance risk premium (VRP). We explore this predictability employing by the Zhang and Xiang IV factor estimation. We show that the level factor term spread significantly predicts the VRP, proxied by straddle returns and variance swap returns, in both in-sample and out-of-sample tests. The predictability is more pronounced for straddle returns rather than variance swap returns.

引用

页码：829 / 857

页数：29

共 50 条

[41] Volatility risk and volatility risk premium: Anomalies in China's market
Chen R.
Zhang B.
Yao Y.
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2019, 39 (12): : 2995 - 3010
[42] The volatility risk premium in the oil market
Bouchouev, Ilia
Johnson, Brett
QUANTITATIVE FINANCE, 2022, 22 (08) : 1561 - 1578
[43] Volatility information implied in the term structure of VIX
Chang, Kai-Jiun
Hung, Mao-Wei
Wang, Yaw-Huei
Yen, Kuang-Chieh
JOURNAL OF FUTURES MARKETS, 2019, 39 (01) : 56 - 71
[44] Stochastic Volatility of Volatility and Variance Risk Premia
Barndorff-Nielsen, Ole E.
Veraart, Almut E. D.
JOURNAL OF FINANCIAL ECONOMETRICS, 2013, 11 (01) : 1 - 46
[45] The Variance Risk Premium in Equilibrium Models*
Bekaert, Geert
Engstrom, Eric
Ermolov, Andrey
REVIEW OF FINANCE, 2023, 27 (06) : 1977 - 2014
[46] The variance risk premium and fundamental uncertainty
Conrad, Christian
Loch, Karin
ECONOMICS LETTERS, 2015, 132 : 56 - 60
[47] Variance risk premium and equity returns
Fassas, Athanasios P.
Papadamou, Stephanos
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2018, 46 : 462 - 470
[48] Pricing the Volatility Risk Premium with a Discrete Stochastic Volatility Model
Simovic, Petra Posedel
Tafro, Azra
MATHEMATICS, 2021, 9 (17)
[49] The Term Structure of Option-Implied Volatility and Future Realized Volatility
Shi, Yukun
Zhang, Hao
Xu, Yaofei
Zhao, Yang
EMERGING MARKETS FINANCE AND TRADE, 2019, 55 (13) : 2997 - 3022
[50] Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics
Jin, Jianjian
REVIEW OF FINANCE, 2015, 19 (03) : 1223 - 1279

← 1 2 3 4 5 →