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The VIX, the Variance Premium and Stock Market Volatility

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Table 3 also shows statistics of some popular simple models used in the literature: the  squared  VIX – realized variance model used in Bekaert, Hoerova, Lo Duca (2013) (our  model 3), the martingale model of BTZ (model 30) and the AR(1) model of Londono
Table 1: Models considered  Variables  VIX 2 C ( 22 ) C ( 5 ) ,C ( 1 ) J ( 22 ) J ( 5 ) , J ( 1 ) r ( 22 )  r ( 5 )  , r ( 1 )  Estimated models  (Log) Model 1  X  (Log) Model 2  X  (Log) Model 3  X  X  (Log) Model 4  X  X  X  (Log) Model 5  X  X  (Log)
Figure 1: Variance premium and conditional variance  Panel A: Variance premia

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