The study looked at how the price of risk related to market volatility changes depending on the method used to analyze it. They compared different models and proxies for volatility, using various portfolio sorts. The results showed that the VIX volatility factor consistently had a strong impact on pricing, while the EGARCH factor had a mixed effect. The type of portfolio sort used also influenced the volatility premiums, with industry sector portfolios showing more consistent results. Overall, the study found that the pricing of volatility risk in the US equity market is influenced by the model used and the type of portfolio sorting.