Before revision:  When JWTSRV estimator is used, model produces significantly best forecasts . We also utilize jumps and build Realized Jump-GARCH model. Utilizing the decomposition obtained by our estimator, we finally build Realized Wavelet-Jump GARCH model, which uses estimated jumps as well as volatility at several investment horizons .
After revision:  When JWTSRV estimator is used, model produces significantly best forecasts .