This paper studies properties of variance risk premium (VRP) and its predictive performance by proposing a flexible self-exciting asset pricing model. Differently from the total VRP, its jump component, though also negative, displays an upward-sloping term structure. In addition, the short-term jump VRP slowly reverts to its long-run mean, thus reflecting investors’ fear of a market crash. The predictive performance of the VRP improves considerably, especially in the short term, when using information on its components and term structures.