A Non-Linear Dynamic Model of the Variance Risk Premium
A Non-Linear Dynamic Model of the Variance Risk Premium
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方差风险溢价的非线性动态模型
DOI：
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发表时间：
2012
期刊：
影响因子：
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通讯作者：
Jiakou Wang
中科院分区：
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作者：
Bjørn Eraker;Jiakou Wang
我们提出了一类新的非线性扩散过程来对金融市场数据进行建模。我们的非线性扩散是通过仿射过程的变换获得的。我们证明资产定价和估计是可能的，而且可能性估计也很简单。我们在客观指标和风险中性指标下估计了 VIX 指数的非线性扩散模型，后者是从期货价格中获得的。我们发现这两种措施都存在显着非线性的证据。我们将 P 漂移和 Q 漂移之间的差异定义为方差风险溢价的度量，并表明它对股票收益具有很强的预测能力。
We propose a new class of non-linear diffusion processes for modeling financial markets data. Our non-linear diffusions are obtained as transformations of affine processes. We show that asset-pricing and estimation is possible and likelihood estimation is straightforward. We estimate a non-linear diffusion model for the VIX index under both the objective measure and the risk-neutral measure where the latter is obtained from futures prices. We find evidence of significant non-linearity under both measures. We define the difference between the P and Q drift as a measure of the variance risk premium and show that it has strong predictive power for stock returns.