Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of … normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we … while controlling for realized volatility, expectations about the macroeconomic outlook, and interest rates. We apply this …

"We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary … policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility …