title: The Variance Risk Premium and Fundamental Uncertainty
creator: Conrad, Christian
creator: Loch, Karin
subject: ddc-330
subject: 330 Economics
description: 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.
date: 2015-02
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/18312/1/conrad_Loch_2015_dp583.pdf
identifier: DOI:10.11588/heidok.00018312
identifier: urn:nbn:de:bsz:16-heidok-183127
identifier:   Conrad, Christian ; Loch, Karin  (2015) The Variance Risk Premium and Fundamental Uncertainty.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/18312/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng