Table 1.
Summary statistics for monthly Variance Risk Premia.
| US | DM | EM | |
|---|---|---|---|
| Mean | -0.387∗∗∗ | -0.508∗∗∗ | -0.970∗∗∗ |
| Median | -0.976 | -0.864 | -1.567 |
| Maximum | 59.33 | 49.22 | 55.68 |
| Minimum | -9.95 | -16.17 | -17.30 |
| Std. Dev. | 6.170 | 5.718 | 6.318 |
| Skewness | 8.38 | 6.18 | 6.64 |
| Kurtosis | 81.62 | 54.73 | 61.14 |
| ADF t-test | -11.32∗∗∗ | -12.43∗∗∗ | -13.23∗∗∗ |
Notes: This table reports summary statistics for monthly variance premia for the United States (US), developed markets (DM) and emerging markets (EM). The dataset includes 110 observations (for the period April 2011–May 2020). In addition, the Augmented Dickey Fuller Test (ADF) t-statistics are reported.
∗∗∗
Denotes significance at the 99% confidence level.