Before revision:  This model is able to capture the so-called "  panic effect", which occurs whenever systematic risk becomes the dominant factor. consequently , in contrast to other models , this new model is as reactive as the implied volatility indices .
After revision:  This model is able to capture the so-called " panic effect", which occurs whenever systematic risk becomes the dominant factor. consequently , in contrast to a GARCH model and a standard volatility estimate from the squared returns , this new model is as reactive as the implied volatility indices .