Before revision: This paper investigates how the forecasts of volatility vary with different high frequency measures. In addition, using a forecasting model based on Realized GARCH combined with time-frequency decomposed volatility, we attempt to study the influence of intra-day investment horizons on daily volatility forecasts.
After revision: This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH combined with time-frequency decomposed volatility, we attempt to study the influence of intra-day investment horizons on daily volatility forecasts.