aspg-42-4221-1792226269 20261017083749 American Scientific Publishing Group admin@americaspg.com American Scientific Publishing Group Journal of International Economics Research JIER 3070-5665 2025 1 2 Ismailov Dilshod Anvarjonovich Researcher of Tashkent State, University of Economics, Uzbekistan This study examines the relationship between implied market volatility and US equity market excess returns over the period August 2020 to December 2024. Using monthly data from the Fama–French Data Library and the CBOE Volatility Index (VIX), the analysis distinguishes between the effects of absolute VIX levels and monthly changes in VIX (ΔVIX). Results indicate that while high volatility levels show a weak, statistically insignificant relationship with returns, volatility shocks (ΔVIX) exert a strong and significant negative effect, with a one-point increase in ΔVIX linked to a 0.81 percentage point drop in monthly excess returns. The findings support integrating ΔVIX into investment appraisal, risk management, and tactical asset allocation frameworks to improve resilience during periods of market stress. 2025 23 28 4221 https://creativecommons.org/licenses/by/4.0/ 10.54216/JIER.010203 https://americaspg.com/journal/42/article/4221 https://americaspg.com/storage/31765928404.pdf