From: A survey-based estimation of the Swiss franc forward term premium
Name | Unit | Abbreviation |
---|---|---|
Risk premium | pp | r |
Absolute risk premium | pp | |r| |
Realized uncertainty (based on futures) | pp | garch |
Expected uncertainty (based on survey) | pp | dispersion |
CBOE volatility index | index | VIX |
Δ Business cycle index | index | Δ BCI |
Δ 3-month Libor | pp | Δ Libor 3M |
Δ Real Swiss franc index | index | Δ CHF real |