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Finance and Economics Discussion Series

Expected Stock Returns and Variance Risk Premia Tim Bollerslev and Hao Zhou 2007-11

Note: This is not an official Federal Reserve statistical release. Data are for research purposes only.

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Date	IV-RV	ImpVar	RelVar
January-90	35.571	53.5941	18.0231
February-90	32.7314	40.2967	7.5653
March-90	26.0332	32.4394	6.4062
April-90	26.092	31.7525	5.6605
May-90	18.9743	25.1431	6.1688
June-90	12.6641	20.0208	7.3567
July-90	26.8996	37.136	10.2364
August-90	50.4622	74.5008	24.0386
September-90	57.3004	70.616	13.3156
October-90	51.2232	75.2001	23.9769
November-90	30.1833	40.9221	10.7388
December-90	49.7909	57.992	8.2011
January-91	19.852	36.4357	16.5837
February-91	24.8507	37.5594	12.7087
March-91	14.5477	23.7445	9.1968
April-91	18.0574	27.7248	9.6674
May-91	14.4413	21.1471	6.7058
June-91	25.7948	31.8502	6.0554
July-91	12.5586	19.2027	6.6441
August-91	9.3777	17.4243	8.0466
September-91	16.1876	20.9352	4.7476
October-91	15.0134	19.9692	4.9558
November-91	24.6523	34.2056	9.5533
December-91	22.7718	31.073	8.3012
January-92	16.7951	25.23	8.4349
February-92	18.0591	23.1852	5.1261
March-92	17.1716	21.816	4.6444
April-92	13.2229	20.0984	6.8755
May-92	12.0175	16.0083	3.9908
June-92	10.2552	14.8519	4.5967
July-92	9.332	14.4541	5.1221
August-92	11.6472	15.368	3.7208
September-92	13.6953	16.9932	3.2979
October-92	14.3749	21.7352	7.3603
November-92	11.0997	14.105	3.0053
December-92	9.9679	13.1671	3.1992
January-93	9.2742	12.8547	3.5805
February-93	9.1677	14.4321	5.2644
March-93	7.8245	13.0834	5.2589
April-93	7.915	12.8547	4.9397
May-93	10.7009	15.1201	4.4192
June-93	7.2417	10.5656	3.3239
July-93	8.6087	11.4661	2.8574
August-93	9.4268	11.7019	2.2751
September-93	10.3067	14.0617	3.755
October-93	8.4051	10.9443	2.5392
November-93	12.0281	15.7781	3.75
December-93	9.4641	11.3296	1.8655
January-94	7.2567	9.4164	2.1597
February-94	14.1329	18.4264	4.2935
March-94	26.9001	34.8502	7.9501
April-94	7.981	15.8011	7.8201
May-94	9.4431	14.1484	4.7053
June-94	14.6335	18.6751	4.0416
July-94	7.639	10.3231	2.6841
August-94	8.8683	11.9401	3.0718
September-94	13.2495	16.9932	3.7437
October-94	12.5792	17.6661	5.0869
November-94	14.7569	21.2002	6.4433
December-94	10.1878	14.52	4.3322
January-95	9.009	11.9201	2.9111
February-95	9.2889	11.5052	2.2163
March-95	10.8138	14.8964	4.0826
April-95	6.3456	11.5052	5.1596
May-95	11.2007	15.8011	4.6004
June-95	6.088	10.792	4.704
July-95	9.8671	15.165	5.2979
August-95	7.115	11.0592	3.9442
September-95	10.522	13.5256	3.0036
October-95	11.2941	15.9391	4.645
November-95	8.4191	11.1747	2.7556
December-95	9.0701	13.0625	3.9924
January-96	5.844	13.0834	7.2394
February-96	15.1807	24.1968	9.0161
March-96	18.5638	29.7045	11.1407
April-96	13.7092	20.8824	7.1732
May-96	13.8794	21.5204	7.641
June-96	10.2163	15.5952	5.3789
July-96	12.4638	31.5576	19.0938
August-96	19.3109	24.1117	4.8008
September-96	17.5287	23.9419	6.4132
October-96	22.0623	27.331	5.2687
November-96	19.2812	24.4816	5.2004
December-96	24.1625	36.4705	12.308
January-97	17.5222	31.5901	14.0679
February-97	27.0703	37.1008	10.0305
March-97	27.9116	40.8483	12.9367
April-97	16.8695	33.5336	16.6641
May-97	16.3333	30.688	14.3547
June-97	26.9673	38.6284	11.6611
July-97	24.707	38.4492	13.7422
August-97	27.5861	51.0881	23.502
September-97	30.0358	43.739	13.7032
October-97	63.0276	102.609	39.5814
November-97	45.4056	62.7004	17.2948
December-97	32.8982	48.04	15.1418
January-98	22.0347	38.4134	16.3787
February-98	20.6616	28.6752	8.0136
March-98	39.9575	48.884	8.9265
April-98	26.8666	37.3827	10.5161
May-98	27.666	37.8785	10.2125
June-98	14.6045	32.3737	17.7692
July-98	37.0529	51.2533	14.2004
August-98	116.5209	163.3932	46.8723
September-98	69.9848	139.7419	69.7571
October-98	11.022	65.5669	54.5449
November-98	43.4287	56.3767	12.948
December-98	32.5741	49.6947	17.1206
January-99	32.5507	57.4219	24.8712
February-99	39.1546	64.7745	25.6199
March-99	23.9365	45.0856	21.1491
April-99	29.2808	52.3754	23.0946
May-99	29.1679	53.721	24.5531
June-99	20.0542	37.0657	17.0115
July-99	37.3661	50.5941	13.228
August-99	29.7371	49.8169	20.0798
September-99	31.204	53.8057	22.6017
October-99	14.6683	41.07	26.4017
November-99	33.4815	48.7227	15.2412
December-99	31.7969	45.63	13.8331
January-00	23.48	51.8752	28.3952
February-00	17.2085	45.5131	28.3046
March-00	7.0749	46.6891	39.6142
April-00	-9.5619	57.2033	66.7652
May-00	9.3118	46.6102	37.2984
June-00	13.4461	31.8176	18.3715
July-00	21.4125	35.8456	14.4331
August-00	12.6355	23.6321	10.9966
September-00	16.3106	35.2604	18.9498
October-00	1.399	46.5314	45.1324
November-00	36.6347	73.2602	36.6255
December-00	24.5368	60.0769	35.5401
January-01	5.4611	40.4067	34.9456
February-01	43.8584	66.9769	23.1185
March-01	7.7908	68.3541	60.5633
April-01	13.6428	54.1025	40.4597
May-01	22.4604	42.7141	20.2537
June-01	11.5964	30.2736	18.6772
July-01	22.6491	38.952	16.3029
August-01	33.3985	51.7505	18.352
September-01	33.8011	84.9604	51.1593
October-01	56.3255	93.8561	37.5306
November-01	28.1446	51.7505	23.6059
December-01	34.9749	47.2033	12.2284
January-02	20.4945	37.0657	16.5712
February-02	19.136	38.844	19.708
March-02	10.5962	25.23	14.6338
April-02	23.8137	40.004	16.1903
May-02	13.5385	33.2667	19.7282
June-02	14.8917	53.7633	38.8716
July-02	-26.1741	85.4934	111.6675
August-02	24.8931	88.7808	63.8877
September-02	76.9398	131.2747	54.3349
October-02	-2.7466	80.8083	83.5549
November-02	31.4601	63.0208	31.5607
December-02	42.2747	68.2587	25.984
January-03	54.2539	80.9641	26.7102
February-03	46.025	73.1614	27.1364
March-03	32.402	70.8102	38.4082
April-03	12.0227	37.4887	25.466
May-03	14.5849	31.5901	17.0052
June-03	14.112	31.7525	17.6405
July-03	11.0619	31.655	20.5931
August-03	15.6255	28.9231	13.2976
September-03	30.9788	43.0165	12.0377
October-03	8.6623	21.6008	12.9385
November-03	14.1497	22.1952	8.0455
December-03	20.7746	27.938	7.1634
January-04	14.4923	23.0464	8.5541
February-04	10.1873	17.6419	7.4546
March-04	9.8525	23.3523	13.4998
April-04	13.0151	23.576	10.5609
May-04	6.0831	20.0208	13.9377
June-04	10.6647	17.1363	6.4716
July-04	10.3985	19.5585	9.16
August-04	11.1141	19.482	8.3679
September-04	9.2774	14.8296	5.5522
October-04	14.7538	22.0594	7.3056
November-04	6.7065	14.6081	7.9016
December-04	8.9485	14.7187	5.7702
January-05	6.4153	13.696	7.2807
February-05	7.736	12.1605	4.4245
March-05	9.1659	16.38	7.2141
April-05	8.5729	19.533	10.9601
May-05	6.6641	14.7187	8.0546
June-05	6.2995	12.0801	5.7806
July-05	5.5135	11.1554	5.6419
August-05	6.5698	13.23	6.6602
September-05	5.6076	11.8405	6.2329
October-05	7.0477	19.5585	12.5108
November-05	7.0298	12.1203	5.0905
December-05	7.2178	12.1404	4.9226
January-06	7.6292	13.9752	6.346
February-06	7.3139	12.6896	5.3757
March-06	5.3406	10.811	5.4704
April-06	4.0912	11.194	7.1028
May-06	11.0885	22.5228	11.4343
June-06	0.9361	14.2572	13.3211
July-06	8.9443	18.6252	9.6809
August-06	4.8374	12.587	7.7496
September-06	7.1765	11.96	4.7835
October-06	5.6144	10.2675	4.6531
November-06	4.4996	9.919	5.4194
December-06	7.2082	11.1361	3.9279
January-07	3.8156	9.048	5.2324
February-07	12.5011	19.8147	7.3136
March-07	2.147	17.8608	15.7138
April-07	12.0994	16.8507	4.7513
May-07	7.9551	14.1484	6.1933
June-07	10.8047	21.9511	11.1464
July-07	30.043	46.0992	16.0562
August-07	-1.4929	45.552	47.0449
September-07	14.1044	27	12.8956
October-07	13.4963	28.6134	15.1171
November-07	6.2821	43.5864	37.3043
December-07	21.4838	41.8133	20.3295
January-08	-15.8587	57.2033	73.062
February-08	27.6277	58.6976	31.0699
March-08	6.2724	54.656	48.3836
April-08	15.9665	36.0187	20.0522
May-08	13.6919	26.4924	12.8005
June-08	25.6338	47.8002	22.1664
July-08	4.3572	43.8536	39.4964
August-08	16.9705	35.5352	18.5647
September-08	1.0404	129.2977	128.2573
October-08	-180.6792	298.901	479.5802
November-08	20.1199	254.6565	234.5366
December-08	3.1273	133.3333	130.206

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