What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?
波动率风险溢价如何反映流动性供给与尾部风险对冲需求？
This article provides a data-driven analysis of the volatility risk premium, using tools from high-frequency finance and Big Data analytics. We argue that the volatility risk premium, loosely defined as the difference between realized and implied volatility, can best be understood when viewed as a systematically priced bias. We first use ultra-high-frequency transaction data on SPDRs and a novel approach for estimating integrated volatility on the frequency domain to compute…