VRP.xlsx

	A	B	C
1	VRP is the variance risk premium, which is defined as the difference between option-implied variance and the expectation of future realized variance.
2	DMVRP is the market capitalization weighted average of 11 developed market country-level VRPs, including Australia, Belgium, Canada, France, Germany, Hong Kong, Japan, the Netherlands, Switzerland, the U.K., and the U.S.
3	EMVRP is the market capitalization weighted average of 9 emerging market country-level VRPs, including Brazil, China, India, South Korea, Mexico, Poland, Russia, South Africa, and Taiwan.
4	EMVRP and DMVRP and in monthly percentage-squared form.
5	For more details, please refer to Qiao, Xu, Zhang, and Zhou (2024): Variance risk premiums in emerging markets, Journal of Banking and Finance 167, 107259
6
7	date	DMVRP	EMVRP
8	200601	1.79	-35.02
9	200602	3.38	-19.14
10	200603	1.18	-17.15
11	200604	-0.95	-0.80
12	200605	0.06	-9.47
13	200606	-4.55	-21.55
14	200607	4.81	9.19
15	200608	3.62	28.94
16	200609	3.83	8.40
17	200610	1.83	19.79
18	200611	0.08	5.57
19	200612	4.64	11.41
20	200701	2.33	-10.41
21	200702	1.81	-5.96
22	200703	-1.19	-7.06
23	200704	7.95	10.71
24	200705	4.56	0.68
25	200706	2.97	-0.93
26	200707	8.89	-1.12
27	200708	11.26	-17.87
28	200709	9.47	6.54
29	200710	18.17	14.86
30	200711	0.65	10.12
31	200712	18.01	1.58
32	200801	3.35	24.44
33	200802	28.96	16.72
34	200803	16.58	3.20
35	200804	11.51	1.52
36	200805	11.97	6.95
37	200806	2.80	4.92
38	200807	6.80	-16.03
39	200808	9.51	5.11
40	200809	-43.93	72.71
41	200810	-147.12	365.53
42	200811	94.02	461.04
43	200812	62.89	84.05
44	200901	66.65	146.24
45	200902	61.26	110.41
46	200903	63.91	38.92
47	200904	53.29	50.88
48	200905	31.18	51.05
49	200906	25.76	56.47
50	200907	23.82	30.51
51	200908	30.19	37.56
52	200909	24.05	26.24
53	200910	21.10	4.71
54	200911	22.26	4.24
55	200912	19.21	18.85
56	201001	18.05	6.80
57	201002	7.70	8.16
58	201003	11.85	7.03
59	201004	14.84	-1.54
60	201005	0.47	-20.23
61	201006	17.97	5.05
62	201007	14.62	6.11
63	201008	20.49	4.65
64	201009	18.78	10.06
65	201010	18.76	-2.07
66	201011	20.30	1.00
67	201012	11.56	5.27
68	201101	14.26	-1.02
69	201102	11.87	-6.48
70	201103	-1.47	-11.28
71	201104	7.13	-6.94
72	201105	5.75	-15.91
73	201106	0.65	-8.89
74	201107	19.07	1.43
75	201108	-28.46	-48.61
76	201109	62.77	19.33
77	201110	18.70	-6.13
78	201111	12.87	9.20
79	201112	17.97	8.23
80	201201	18.23	4.48
81	201202	17.41	7.69
82	201203	4.20	-7.19
83	201204	4.59	0.01
84	201205	22.76	5.47
85	201206	0.75	-10.65
86	201207	10.70	-3.89
87	201208	12.17	8.06
88	201209	1.79	-18.20
89	201210	10.23	0.54
90	201211	-0.78	-6.06
91	201212	15.74	7.28
92	201301	3.53	-2.24
93	201302	4.50	-3.99
94	201303	5.85	-6.62
95	201304	-1.23	-17.00
96	201305	3.69	-12.70
97	201306	1.66	-14.77
98	201307	1.59	-11.06
99	201308	6.59	0.83
100	201309	10.20	-7.44