**3. Empirical Studies**

In this section, we empirically compare the pricing performance of our proposed model with those of the classical two factor stochastic volatility models, such as Bates (2000) (two variance SVmodel with price jumps, 2-SVJmodel), Christoffersen et al. (2009) (two-variance SV model, 2-SV model), and Christoffersen et al. (2018) (two-variance SV model with a single market factor, 2-FSVmodel), being taken as benchmark models.
