# Variance premia in developed and emerging equity markets

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

Contributor:

Athanasios P. Fassas

## Description

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.