关键词: 实现方差, 隐含波动率, 方差溢价, 预测作用

Abstract: VIX had the important function in capital market. The paper used the Chinese implied volatility to calculate the Variance risk premium which bipower variation method is used, and we predict the stock market returns and macroeconomic activity with them. The main findings are: the increasing VIX would exacerbate the risk of market volatility; Variance of continuous sections and jump sections have positive influence on the future realized variance significantly. The conclusions of forecasting weekly and monthly stock returns indicated that monthly returns are easy to be forecasted with variance premium and VIX; Chinese VIX and variance premium have no predictability for Chinese macro economic activities. The conclusions provide empirical analysis for risk appetites in Chinese securities market.

Key words: Realized Variance, VIX, Variance Risk Premium, Predictability