The article explores how returns and volatilities in financial markets interact. It distinguishes between realized and implied volatilities and examines two theories: the leverage effect and the volatility feedback effect. By analyzing S&P 500 Index futures data, the researchers found that return shocks affect volatility in the short term, while implied volatility plays a key role in predicting future volatility. Bad news has a stronger impact on volatility than good news, and a positive variance risk premium influences returns more than a negative one.