Volatility Risk Premium, Return Predictability, and ESG Sentiment: Evidence from China’s Spots and Options’ Markets

Table 2

Correlation matrix of volatility series.

	RVOL	HVOL	BSVOL	MFVOL
Panel A: Daily
RVOL	1
HVOL	0.4559	1
BSVOL	0.5267	0.7442	1
MFVOL	0.4622	0.6672	0.8369	1
Panel B: Monthly
RVOL	1
HVOL	0.4914	1
BSVOL	0.5168	0.8223	1
MFVOL	0.4560	0.5742	0.6587	1