Note(s): Panel A provides parameters for Eqs. (24) and (26) to simulate the daily returns of the market index, which are taken from Table 1 of Neuberger (2012). Here, $μM,v$ denotes the mean of $JM,v,t$⁠, which follows an exponential distribution; $μM,S$ and $σM,S$ denote the mean and standard deviation of $JM,t$⁠, which follows a normal distribution; $ρM$ is the correlation between $WM,t$ and $BM,t$⁠; and $λM$ is the jump intensity of the Poisson process $NM,t$⁠. In addition, we set $gM=−λM(eμM,S+12σM,S2−1)$ to ensure that $SM$ is a martingale under both P and Q measures. Panel B provides parameters for Eqs. (25) and (27) to simulate the daily returns of two individual stocks among 29 stocks listed in Tables 6 and 7 of Gourier (2016). Some parameters in Panel B are modified from the original source. For example, $κi$ = 0.023 in the first row is obtained from $κ$ = 5.9 in Gourier (2016) by dividing it by 252 to simulate daily return processes. In addition, while Gourier (2016) assumes that jump intensity is an affine function of the instantaneous variance process, our model assumes a constant jump intensity. Accordingly, we set $λi=100252(λ0G+λ1GθG)$ (%), where $λ0G$ and $λ1G$ are the intercept and slope parameters, respectively, in Gourier (2016). Finally, we set $gi=−λM(eβi,JμM,S+12βi,J2σM,S2−1)−λi(eμi,S+12σi,S2−1)$ to ensure $Si$ is a martingale under both P- and Q-measures