realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

- and out-of-sample, using predictive variables such as the dividend yield or the volatility risk premium …