From the answers to this question, we can safely believe that no data is stored on the hard disk unless we choose to save it to hard disk(persistence).

As for a definitve answer check out this post on stackoverflow which explains that it is a ramdisk.

Quoting from the Stackoverflow answer to the above said question:

Believe it or not, it's a ramdisk :) All live distros mount a
temporary hard disk in RAM memory. The process is completely
user-transparent and is all because of the magic of Linux kernel.

The OS, in fact, first allocates an area of your RAM memory into a
virtual device, then mounts it as a regular hard drive in your file
system.

Once you reboot, you lose all your data from that ramdrive.

For more detailed information regarding this, check out the Wikipedia article on Live Cd explaining the technique of its working.