TY  - GEN
A1  - Conrad, Christian
A1  - Loch, Karin
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/18312/
Y1  - 2015/02//
T3  - Discussion Paper Series, University of Heidelberg, Department of Economics
N2  - 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.
CY  - Heidelberg
EP  - 10
TI  - The Variance Risk Premium and Fundamental Uncertainty
ID  - heidok18312
AV  - public
KW  - Variance risk premium
KW  -  return predictability
KW  -  VIX
KW  -  GARCH-MIDAS
KW  -  economic uncertainty
KW  -  vol-of-vol
ER  -