Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - 2016
forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the … impact of jumps due to a recently proposed jump wavelet two scale realized volatility estimator. We propose a realized Jump … autoregressive score. We compare forecasts using several popular realized volatility measures on foreign exchange rate futures data …