The Importance of the Volatility Risk Premium for Volatility Forecasting
“Using regression models and statistical loss functions, we find compelling evidence to suggest that the risk premium adjusted implied volatility significantly outperforms other models, including its unadjusted counterpart.”
AssetVolatility and optionsfutures
StrategyVolatility risk premium
ClaimExcess return
InputsOptions-implied
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
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