The equity variance risk premium is the extra money you get for taking on the risk of stock market volatility. It tends to be positive and doesn't stick around for too long. When the premium is high, it means that the chances of bad things happening to the economy are higher. This goes against a lot of theories about how assets are priced. A new model has been introduced that does match up with the data. In this model, the variance risk premium goes up when there's more uncertainty about bad things happening to the economy.