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

Terms of Use for work posted in Scholarship@Claremont.

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.

This thesis is restricted to the Claremont Colleges current faculty, students, and staff.

Share

COinS