Decomposing the VIX: Implications for the predictability of stock returns
将VIX指数分解为已实现方差、方差风险溢价、已实现尾部及尾部风险溢价四个成分，发现尾部风险溢价约占VIX的三分之一，且与方差风险溢价、已实现尾部共同预测股票组合未来收益。
Abstract The VIX index is not only a volatility index but also a polynomial combination of all possible higher moments in market return distribution under the risk‐neutral measure. This paper formulates the VIX as a linear decomposition of four fundamentally different elements: the realized variance (RV), the variance risk premium (VRP), the realized tail (RT), and the tail risk premium (TRP), respectively. Using an innovative and nonparametric tail risk measure, we find that approximately one‐third of the VIX's formation is attributed to the TRP. In addition to VRP, RT and TRP are crucial components for predicting future returns on equity portfolios.