Variance premia in developed and emerging equity markets

Published: 22 July 2020| Version 3 | DOI: 10.17632/7mym92twyp.3
Athanasios P. Fassas


The variance premia of developed markets (as proxied by MSCI EAFE Index), emerging markets (as proxied by MSCI Emerging Markets Index) and the US market (as proxied by S&P500 index). We define the Variance Risk Premium (VRP) as the difference between the ex-post realized return variation and the ex-ante risk-neutral expectation of the future return variation, as proxied by the respective implied volatility index.