["Journal of Futures Markets, EarlyView. ", "\nABSTRACT\nThis paper estimates a model where variance risk premiums (VRP) is not fully explained by equity risk premiums (ERP). This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk‐neutralization is compatible with continuous‐time settings. We document that volatility index (VI) term structures, VI futures, and equity options, could be highly sensitive to changes in VRP. When the model is jointly estimated a consistent and sizable VRP emerges; suggesting that joint estimation with VI futures has an edge based on total likelihood and numerical advantage.\n"]