The study looked at how market participants price interest rate derivatives to see how they compensate for volatility risk. They used a simple model to estimate the volatility risk premium and found that interest rate volatility includes a large negative compensation for risk. This compensation changes over time and varies across different maturity periods. It is influenced by factors like risk neutral volatility, short-term interest rates, and macroeconomic surprises. The findings suggest that the compensation for volatility risk is related to risk aversion, with higher risk aversion leading to higher compensation.