A comment on Christoffersen, Jacobs, and Ornthanalai (2012), “Dynamic jump intensities and risk premiums: Evidence from S&P 500 returns and options”

Christoffersen, Jacobs, and Ornthanalai (2012) (CJO) propose an interesting and useful class of generalized autoregressive conditional heteroskedasticity (GARCH)-like models with dynamic jump intensity, and find evidence that the models not only fit returns data better than some commonly used benchmarks but also provide substantial improvements in option pricing performance. While such models pose difficulties for estimation and analysis, CJO...