Campus Only Senior Thesis
Bachelor of Arts
© 2013 Guanli Xiao
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.
Xiao, Guanli, "Variance Risk Premium in GOLD VIX Market" (2013). CMC Senior Theses. 619.
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