Abstract
Using a procedure analogous to that of Ang et al. (2006), this paper documents that aggregate volatility risk does not appear to be priced in European equity markets. Specifically, based on the 2002-2016 period (for which European stock return data is available), the price of aggregate volatility risk is not statistically different from zero. Analysis based on GARCH-class and high-frequency intraday data models support these results. Consequently, contrary to what has been reported in some studies that examine U.S. data, whether aggregate volatility risk is priced in equity markets is an open question.
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