분산프리미엄과 변동성예측에 대한 연구 : 한국, 대만, 미국 시장을 중심으로

Volatility is an important economic indicator that represents economic uncertainty. The prediction of future volatility has long drawn much attention from a practical and academic perspective. In this study, I test whether the variance risk premium in addition to historical volatility and implied volatility can help predict future volatility. The variance risk premium defined as the difference between risky-neutral variance and physical variance indicates a reward for bearing non-diversifiable risks and is known to have information on future expected returns. I extend the forecasting ability of the variance risk premium’s to the volatility forecasting in Korea, Taiwan and the United States. The main results of the study can be summarized as follows. The variance risk premium has a significant explanatory power for the future realized volatility in the Korean and Taiwanese markets. However, the informative power of the variance risk premium appears to be no longer significant after two months and thus it does not reflect a long run risk factor.