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- W4308900565 abstract "We show that the Realized GARCH model yields close-form expression for both the Volatility Index (VIX) and the volatility risk premium (VRP). The Realized GARCH model is driven by two shocks, a return shock and a volatility shock, and these are natural state variables in the stochastic discount factor (SDF). The volatility shock endows the exponentially affine SDF with a compensation for volatility risk. This leads to dissimilar dynamic properties under the physical and risk-neutral measures that can explain time-variation in the VRP. In an empirical application with the S&P 500 returns, the VIX, and the VRP, we find that the Realized GARCH model significantly outperforms conventional GARCH models." @default.
- W4308900565 created "2022-11-19" @default.
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- W4308900565 date "2021-12-09" @default.
- W4308900565 modified "2023-09-27" @default.
- W4308900565 title "Realized GARCH, CBOE VIX, and the Volatility Risk Premium" @default.
- W4308900565 doi "https://doi.org/10.48550/arxiv.2112.05302" @default.
- W4308900565 hasPublicationYear "2021" @default.
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