• Graduate program
    • Why Tinbergen Institute?
    • Research Master
    • Admissions
    • Course Registration
    • Facilities
    • PhD Vacancies
    • Selected PhD Placements
    • Research Master Business Data Science
  • Research
  • Browse our Courses
  • Events
    • Summer School
      • Applied Public Policy Evaluation
      • Deep Learning
      • Economics of Blockchain and Digital Currencies
      • Economics of Climate Change
      • Foundations of Machine Learning with Applications in Python
      • From Preference to Choice: The Economic Theory of Decision-Making
      • Gender in Society
      • Machine Learning for Business
      • Marketing Research with Purpose
      • Sustainable Finance
      • Tuition Fees and Payment
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • 16th Tinbergen Institute Annual Conference
    • Annual Tinbergen Institute Conference
  • News
  • Alumni
Home | Events | Early Birds Get the Vol: Morning Volatility Uncertainty and Variance Risk Premium
Seminar

Early Birds Get the Vol: Morning Volatility Uncertainty and Variance Risk Premium

  • Location
    Erasmus University Rotterdam, Campus Woudestein, ET-14
    Rotterdam
  • Date and time

    November 20, 2025
    12:00 - 13:00

We document that the VVIX (volatility-of-volatility index) exhibits distinct intraday patterns with varying predictive power for variance asset returns. Using high-frequency VIX options data from 2006-2022, we find VVIX's predictive ability peaks at 10:00 EST during U.S.-European market overlap, achieving t-statistics of 5.6 and adjusted-$R^2$s up to 2.63\%. This predictive power systematically diminishes after 11:00 EST. Elevated morning VVIX predicts positive next-day variance asset returns, consistent with underreaction and slow-moving beliefs about volatility mechanisms. Results remain robust after controlling for established predictors, overnight information, and order imbalances, generating substantial economic value through trading strategies with Sharpe ratios significantly above benchmarks.