• Abstract
  • Non-technical summary
  • 1 Introduction
  • 2 Forming expectations of swap volatilities
  • 3 Evidence
  • 3.1 Data and delta-hedged gains
  • 3.2 Garch-based compensationfor volatility risk
  • 3.3 Reality check
  • 4 Determinants of the compensationfor volatility risk
  • 4.1 Financial variables
  • 4.2 Macroeconomic surprises
  • 5 Conclusions
  • References
  • Tables and fi gures