Library Header Image
LSE Research Online LSE Library Services

The shape of the risk premium: evidence from a semiparametric GARCH model

Linton, Oliver and Perron, Benoit (2000) The shape of the risk premium: evidence from a semiparametric GARCH model. Discussion paper, 514. Financial Markets Group, London School of Economics and Political Science, London, UK.

Download (222kB) | Preview
Identification Number: 514


We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric, while the conditional mean is an arbitrary function of the conditional variance. For monthly S&P 500 excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic. Moreover, we find considerable persistence in the conditional variance as well as a leverage effect as documented by others.

Item Type: Monograph (Discussion Paper)
Official URL:
Additional Information: © 2000 The Authors
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HJ Public Finance
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Collections > LSE Financial Markets Group (FMG) Working Papers
Date Deposited: 06 Aug 2009 14:24
Last Modified: 27 Feb 2014 15:36

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics