In addition McQueen and Vorkink (2004) are able to reproduce GARCH volatility using a preference-based model with time-varying sensitivity to news. In a related paper, Vanden (2005) develops a model where the representative agent exhibits a utility function with several risk aversion regimes, which in equilibrium leads to volatility regimes and volatility clustering. In contrast to these models, I assume standard constant relative risk aversion preferences and volatility clustering occurs for di¤erent possible levels of risk aversion, as long as risk aversion is higher than the case of logarithmic preferences