Graduation Year
Spring 2013
Document Type
Campus Only Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Eric Hughson
Terms of Use & License Information
Rights Information
© 2013 Guanli Xiao
Abstract
In this thesis, I study the variance risk premium in Gold VIX market. Using synthetically created variance swaps, I quantify the variance risk premium to be average -0.068 in absolute terms and -0.358 in log return terms, meaning that purchasing volatility in Gold VIX is generally unprofitable. Although the average negative risk premium is not statistically significant, the mean log return of risk premium is robust with Newey-West test. Furthermore, I attempt to test whether risk premium vary with time or the level of the swap rate, but obtain unclear results.
Recommended Citation
Xiao, Guanli, "Variance Risk Premium in GOLD VIX Market" (2013). CMC Senior Theses. 619.
https://scholarship.claremont.edu/cmc_theses/619
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.