MGPraxis6,400 papers identified by name

Realized GARCH, CBOE VIX, and the Volatility Risk Premium

Peter Reinhard Hansen, Zhuo Huang, Tong Chen, Tianyi Wang·2021
arXiv 2112.05302 ↗·RePEc arx:papers:2112.05302 ↗·Journal of Financial Econometrics ↗

The volatility risk premium in volatility and options, studied by Hansen and co-authors in 2021 with classical time-series methods. The abstract mentions excess returns and a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.

“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.”

AssetVolatility and optionsindices
StrategyVolatility risk premium
TechniqueClassical time seriesmathematical derivation
GeographyUS

Also stated: Excess return, Options-implied, benchmark

Missing from abstract: out-of-sample test, costs, multiple testing, universe

Institutional-grade audit of this strategy.
£5 — Request the audit
  • Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
  • Reproduction code integratable into Bloomberg, IBKR, etc.
  • Bias-free datasets for backtesting included
  • Delivered in 2 working days
The paper's neighbourhoodVolatility risk premium by year
■ volatility and options■ equities■ bonds and credit■ commodities■ other assets20052010920156This paper2021232026■ volatility and options■ equities■ bonds and credit■ commodities■ other assets20052010920156This paper2021232026
FamilyVolatility risk premium102Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 900
AssetVolatility and options40Equities46
MethodMathematical derivation8Classical time series21Linear factor models11Tree ensembles23 more · 3
AuthorsHansen et al.1Hao Zhou5Tim Bollerslev3Lai Xu3
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
Similar paperscitationsame methodsame assetsame authors
The Implied-Realized Volatility Ratio and the Cross-Section of Put-Writing Returns by Ahn2026
The Variance Risk Premium Across Markets and Regimes A Downside, Crash-Conditional Risk Premium, Not Harvestable Carry by Ahmed2026
Variance Risk Premium in Nifty 50 Weekly Expiry Cycles: VIX Calibration Bias and Regime Dependence by Sajjan2026
Hierarchical Machine Learning for Variance Risk Premium Estimation: From VIX Forecasting to Options Trading by Fouhy2026
Sizing the Risk: Kelly, VIX, and Hybrid Approaches in Put-Writing on Index Options by Wysocki2025
Not yet audited by MarketGraphs Praxis. Tags from the abstract. Counts from the universe.
RSS · Contacts