This article evaluates the predictive performance of variance risk premiums (VRPs) in Japan on the Nikkei 225 returns, credit spreads, and the composite index of coincident indicators. Different monthly VRPs, such as expected and ex-post VRPs, are measured by using model-free implied and...

This article evaluates the predictive performance of the market variance risk premium (VRP) in Japan on the Nikkei 225 returns, credit spreads, and the composite index of coincident indicators. Different measures such as expected and ex-post VRPs, which are constructed from model-free implied...