Before revision:  In a forecasting study , the proposed models are applied to 7 market indices and 2 individual assets, compared to a range of parametric, non-parametric and semi-parametric models, including GARCH, Realized-GARCH, CARE and Taylor (2017) joint VaR and ES quantile regression models, one-day-ahead Value-at-Risk and Expected Shortfall forecasting results favor the proposed models, especially when incorporating the sub-sampled Realized Variance and the sub-sampled Realized Range in the model.
After revision:  In a comprehensive forecasting study on 1\% and 2.5 \% quantile levels , the proposed models are applied to 7 market indices and 2 individual assets, compared to a range of parametric, non-parametric and semi-parametric models, including GARCH, Realized-GARCH, CARE and Taylor (2017) joint VaR and ES quantile regression models, one-day-ahead Value-at-Risk and Expected Shortfall forecasting results favor the proposed models, especially when incorporating the sub-sampled Realized Variance and the sub-sampled Realized Range in the model.