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Realized GARCH, CBOE VIX, and the Volatility Risk Premium

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/fut.21820openalex-snapshot

Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model

inferredcites →https://doi.org/10.1002/fut.21821openalex-snapshot

Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach

inferredcites →https://doi.org/10.1002/fut.22201openalex-snapshot

Pricing VIX options with realized volatility

inferredcites →https://doi.org/10.1002/jae.1234openalex-snapshot

Realized GARCH: a joint model for returns and realized measures of volatility

inferredcites →https://doi.org/10.1002/jae.800openalex-snapshot

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

inferredcites →https://doi.org/10.1016/0304-405x(87)90026-2openalex-snapshot

Expected stock returns and volatility

inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-snapshot

Generalized autoregressive conditional heteroskedasticity

inferredcites →https://doi.org/10.1016/j.econlet.2015.04.006openalex-snapshot

The variance risk premium and fundamental uncertainty

inferredcites →https://doi.org/10.1016/j.iref.2015.02.018openalex-snapshot

Model-Free Volatility Indexes in the Financial Literature: A Review

inferredcites →https://doi.org/10.1016/j.jbankfin.2015.05.009openalex-snapshot

The role of the variance premium in Jump-GARCH option pricing models

inferredcites →https://doi.org/10.1016/j.jeconom.2004.02.014openalex-snapshot

Testing normality: a GMM approach

inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.033openalex-snapshot

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.037openalex-snapshot

Variance dynamics: Joint evidence from options and high-frequency returns

inferredcites →https://doi.org/10.1016/j.jeconom.2012.01.011openalex-snapshot

Jump-robust volatility estimation using nearest neighbor truncation

inferredcites →https://doi.org/10.1016/j.jeconom.2014.05.008openalex-snapshot

The VIX, the variance premium and stock market volatility

inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.008openalex-snapshot

Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.036openalex-snapshot

Smile from the past: A general option pricing framework with multiple volatility and leverage components

inferredcites →https://doi.org/10.1016/j.jeconom.2015.06.024openalex-snapshot

A tale of two option markets: Pricing kernels and volatility risk

inferredcites →https://doi.org/10.1016/j.jedc.2010.05.006openalex-snapshot

Jump and volatility risk premiums implied by VIX

inferredcites →https://doi.org/10.1016/j.jempfin.2013.04.006openalex-snapshot

Variance risk premiums in foreign exchange markets

inferredcites →https://doi.org/10.1016/j.jfineco.2012.08.015openalex-snapshot

Realizing smiles: Options pricing with realized volatility

inferredcites →https://doi.org/10.1016/j.jfineco.2013.11.009openalex-snapshot

Lévy Jump Risk: Evidence from Options and Returns

inferredcites →https://doi.org/10.1016/j.jfineco.2018.09.008openalex-snapshot

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

inferredcites →https://doi.org/10.1016/s0304-405x(01)00088-5openalex-snapshot

The jump-risk premia implicit in options: evidence from an integrated time-series study

inferredcites →https://doi.org/10.1017/s0022109014000428openalex-snapshot

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

inferredcites →https://doi.org/10.1080/07350015.1995.10524599openalex-snapshot

Comparing Predictive Accuracy

inferredcites →https://doi.org/10.1080/07350015.2015.1038543openalex-snapshot

Exponential GARCH Modeling With Realized Measures of Volatility

inferredcites →https://doi.org/10.1080/07350015.2018.1564318openalex-snapshot

The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets

inferredcites →https://doi.org/10.1093/jjfinec/nbh001openalex-snapshot

Power and Bipower Variation with Stochastic Volatility and Jumps

inferredcites →https://doi.org/10.1093/jjfinec/nbi028openalex-snapshot

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

inferredcites →https://doi.org/10.1093/jjfinec/nbp001openalex-snapshot

A Simple Approximate Long-Memory Model of Realized Volatility

inferredcites →https://doi.org/10.1093/jjfinec/nbs026openalex-snapshot

GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium

inferredcites →https://doi.org/10.1093/rfs/13.3.585openalex-snapshot

A Closed-Form GARCH Option Valuation Model

inferredcites →https://doi.org/10.1093/rfs/9.1.69openalex-snapshot

Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

inferredcites →https://doi.org/10.1093/rfs/hhg002openalex-snapshot

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

inferredcites →https://doi.org/10.1093/rfs/hhi027openalex-snapshot

The Model-Free Implied Volatility and Its Information Content

inferredcites →https://doi.org/10.1093/rfs/hhn038openalex-snapshot

Variance Risk Premiums

inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-snapshot

Expected Stock Returns and Variance Risk Premia

inferredcites →https://doi.org/10.1093/rfs/hht033openalex-snapshot

Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

inferredcites →https://doi.org/10.1111/0022-1082.00228openalex-snapshot

Option Prices, Implied Price Processes, and Stochastic Volatility

inferredcites →https://doi.org/10.1111/0022-1082.00352openalex-snapshot

Expected Option Returns

inferredcites →https://doi.org/10.1111/1368-423x.00070openalex-snapshot

The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

inferredcites →https://doi.org/10.1111/1467-937x.00050openalex-snapshot

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

inferredcites →https://doi.org/10.1111/j.1467-9965.1995.tb00099.xopenalex-snapshot

THE GARCH OPTION PRICING MODEL

inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00666.xopenalex-snapshot

Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices

inferredcites →https://doi.org/10.1111/jofi.12220openalex-snapshot

Aggregate Jump and Volatility Risk in the Cross‐Section of Stock Returns

inferredcites →https://doi.org/10.1162/rest.2010.11549openalex-snapshot

Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options

inferredcites →https://doi.org/10.21314/jcf.1999.033openalex-snapshot

An analytical approximation for the GARCH option pricing model

inferredcites →https://doi.org/10.2307/2348865openalex-snapshot

Modelling Financial Time Series.

inferredcites →https://doi.org/10.2307/2527343openalex-snapshot

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

inferredcites →https://doi.org/10.2307/2938260openalex-snapshot

Conditional Heteroskedasticity in Asset Returns: A New Approach

inferredcites →https://doi.org/10.3905/jod.1999.319129openalex-snapshot

A Guide to Volatility and Variance Swaps

inferredcites →https://doi.org/10.3982/ecta6495openalex-snapshot

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4319972openalex-extracted

Joint Dynamics For The Underlying Asset and Its Implied Volatility Surface: A New Methodology For Option Risk Management

inferred← citeshttps://doi.org/10.2139/ssrn.4664927openalex-extracted

Setting the VIX Free: A Generalized Affine GARCH Model

inferred← citeshttps://doi.org/10.1002/for.3132openalex-snapshot

Hybrid forecasting of crude oil volatility index: The cross‐market effects of stock market jumps

inferred← citeshttps://doi.org/10.1002/for.70037openalex-snapshot

HyperVIX: A GWO‐Optimized ARIMA‐LSTM Hybrid Model for CBOE Volatility Index (VIX) Forecasting

inferred← citeshttps://doi.org/10.1002/fut.22201openalex-snapshot

Pricing VIX options with realized volatility

inferred← citeshttps://doi.org/10.1002/fut.22545openalex-snapshot

Pricing VIX Futures and Options With Good and Bad Volatility of Volatility

inferred← citeshttps://doi.org/10.1002/fut.70068openalex-snapshot

Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management

inferred← citeshttps://doi.org/10.1002/fut.70132openalex-snapshot

The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact

inferred← citeshttps://doi.org/10.1016/j.finr.2026.100139openalex-snapshot

Do returns still matter? A complete asymmetric volatility model with realized measures in financial markets

inferred← citeshttps://doi.org/10.1016/j.frl.2024.105115openalex-snapshot

Pricing CBOE VIX in non-affine GARCH models with variance risk premium

inferred← citeshttps://doi.org/10.1016/j.iref.2023.06.034openalex-snapshot

Forecasting VIX with time-varying risk aversion

inferred← citeshttps://doi.org/10.1016/j.najef.2023.101934openalex-snapshot

Forecasting VIX using two-component realized EGARCH model

inferred← citeshttps://doi.org/10.1016/j.najef.2023.102065openalex-snapshot

International oil shocks and the volatility forecasting of Chinese stock market based on machine learning combination models

inferred← citeshttps://doi.org/10.1016/j.pacfin.2023.102245openalex-snapshot

Forecasting Chinese stock market volatility with option-implied risk aversion: Evidence from extended realized EGARCH-MIDAS approach

inferred← citeshttps://doi.org/10.1016/j.pacfin.2024.102458openalex-snapshot

Forecasting Chinese stock market volatility with high-frequency intraday and current return information

inferred← citeshttps://doi.org/10.1080/00036846.2022.2102570openalex-snapshot

Modelling and forecasting volatility with high-frequency and VIX information: a component realized EGARCH model with VIX

inferred← citeshttps://doi.org/10.1080/00036846.2024.2405201openalex-snapshot

Empirical performance of the optimal predictors under asymmetric loss GARCH vs. realized GARCH models

inferred← citeshttps://doi.org/10.1080/00036846.2025.2532191openalex-snapshot

Forecasting the volatility index using Real-Time Realized EGARCH-FHS model

inferred← citeshttps://doi.org/10.1080/13504851.2024.2308565openalex-snapshot

Forecasting VIX using realized EGARCH model with dynamic jumps

inferred← citeshttps://doi.org/10.1080/13504851.2025.2567623openalex-snapshot

A new dynamic high-frequency volatility forecasting model for energy market – evidence from real-time realized EGARCH-GAS model

inferred← citeshttps://doi.org/10.1093/rfs/hhaf063openalex-snapshot

Option Pricing with Time-Varying Volatility Risk Aversion

inferred← citeshttps://doi.org/10.1142/s2010495224500039openalex-snapshot

Unconditional Volatility Framework: Theoretical and Empirical Insights

inferred← citeshttps://doi.org/10.1515/snde-2024-0013openalex-snapshot

Heterogeneous Volatility Information Content for the Realized GARCH Modeling and Forecasting Volatility

inferred← citeshttps://doi.org/10.2139/ssrn.6628544openalex-snapshot

Option Pricing with Recurrent Variance Risk Aversion

inferred← citeshttps://doi.org/10.3390/risks11120211openalex-snapshot

Performance of the Realized-GARCH Model against Other GARCH Types in Predicting Cryptocurrency Volatility

inferred← citeshttps://doi.org/10.3390/risks13100190openalex-snapshot

Using Daily Stock Returns to Estimate the Unconditional and Conditional Variances of Lower-Frequency Stock Returns

inferred← citeshttps://doi.org/10.3934/qfe.2026009openalex-snapshot

Forecasting volatility indices in stock and gold markets: Synergistic effects of the GARCH-MIDAS model and economic policy uncertainty

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