Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/127403
Authors: 
Conrad, Christian
Loch, Karin
Year of Publication: 
2015
Series/Report no.: 
Discussion Paper Series, University of Heidelberg, Department of Economics 583
Abstract: 
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.
Subjects: 
Variance risk premium
return predictability
VIX
GARCH-MIDAS
economic uncertainty
vol-of-vol
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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