Kanas, Angelos - In: Empirical Economics 44 (2013) 3, pp. 1291-1314
A significantly positive risk-return relation for the S&P 500 market index is detected if the squared implied volatility index (VIX) is allowed for as an exogenous variable in the conditional variance equation of the parsimonious GARCH(1,1) model. This result holds for both daily and weekly...