Quantitative Research Note2026Canonical long-form →

The Variance Risk Premium (VIX vs Realized)

Implied > realized 85% of 36 yrs; predicts returns, Newey-West t = +6.5.

Quantitative ResearchPublished Sun Jan 25 2026 00:00:00 GMT+0000 (Coordinated Universal Time)

EVAL-FIRST31 GATESNDA-CLEANPUBLIC DATAALPHASIGNAL > NOISEREPRODUCIBLENOTEBOOK-COMMITTEDCITABLEBIBTEX + DOI

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@techreport{macion2026quant04varianceriskpremium,
  author       = {Macion, Christian T.},
  title        = {The Variance Risk Premium (VIX vs Realized)},
  institution  = {Independent research},
  year         = {2026},
  date         = {2026-01-25},
  note         = {Public-data reproducible. Canonical long-form: https://christianmacion-portfolio.pages.dev/projects/quant/04-variance-risk-premium/},
  url          = {https://christianmacion-portfolio.pages.dev/projects/quant/04-variance-risk-premium/}
}

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