Volatility risk premia compensate investors for holding assets that are affected by times of high return variation. The study uses a model with different beliefs, economic uncertainty, and default risk to explain why some stocks have higher risk premia than others. Uncertainty about growth rates and macro-economic conditions influences the level and variability of these risk premia. The model accurately predicts stock returns and credit spreads, showing that investors' uncertainty about future growth and economic conditions are important factors in determining these risk premia.