Realized GARCH, CBOE VIX, and the Volatility Risk Premium
证明实现GARCH模型能给出波动率指数和波动率风险溢价的闭式解，并用标普500数据证实其优于传统GARCH模型。
Abstract We show that the realized GARCH model yields closed-form expression for both the volatility index (VIX) and the volatility risk premium (VRP). The realized GARCH model is driven by two shocks, a return shock and a volatility shock, and these are natural state variables in the stochastic discount factor (SDF). The volatility shock endows the exponentially affine SDF with compensation for volatility risk. This leads to dissimilar dynamic properties under the physical and risk-neutral measures that can explain time-variation in the VRP. In an empirical application with the S&P 500 returns, the VIX, and the VRP, we find that the realized GARCH model significantly outperforms conventional GARCH models.