Moment-based estimation of stochastic volatility

The base case stochastic volatility model is extended to allow for the leverage effect and jumps in returns. Empirical estimation confirms the presence of fast mean reversion in volatility and jumps in returns for the 5-min S&P 500 stock market index. Further estimation results also seem to indicate the presence of jumps in the volatility process that are correlated to the jumps in returns.