Implied Volatility Style Analysis: Risk Aversion versus Uncertainty
通过基于收益的风格分析，将VIX和VDAX波动率指数分解为条件方差和方差溢价两部分，分别代表不确定性和风险厌恶，发现风险厌恶平均贡献约70%，但在正常时期两者影响更均衡（约60%对40%）。
This article examines the two most established and widely followed implied volatility indexes, VIX and VDAX, through returns-based style analysis, a tool highly regarded and utilized within the investment community. A volatility index reflects both the stock market’s future uncertainty about the underlying index and investors’ risk aversion in these two markets. We separate the volatility index into two distinct components: conditional variance and variance premium, representing uncertainty and risk aversion, respectively. Our empirical findings show that both volatility indexes are driven largely on average by risk aversion (around 70%), but this result is magnified by crisis observations, which have an outsized impact despite constituting a smaller portion of the dataset. In normal times, volatility indexes are still significantly affected by risk aversion, but the influence is more balanced (approximately 60% risk aversion, 40% uncertainty). Our empirical findings could carry significant implications, given that shifts in risk appetite are widely recognized as pivotal determinants of asset prices and returns, and gaining a clearer understanding of the factors driving the VIX contributes to achieving this objective.