Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

indirect estimation of empirically more realistic continuous-time jump diffusion and Levy-driven stochastic volatility models …We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes … inter-dependencies among the shocks to returns and the two different volatility components. The model estimates suggest that …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …