Before revision: In this paper , we propose a forecasting model for volatility based on its decomposition to several investment horizons and jumps . As a forecasting tool, we use Realized GARCH framework which models jointly returns and realized measures of volatility. Using jump wavelet two scale realized volatility estimator (JWTSRV) , we first decompose the returns volatility into several investment horizons and jumps and then utilise this decomposition in a newly proposed Realized Jump-GARCH and Realized Wavelet-Jump GARCH models.
After revision: In this paper , we propose a forecasting model for volatility based on its decomposition to several investment horizons and jumps is possible due to a recently proposed jump wavelet two scale realized volatility estimator (JWTSRV) , we first decompose the returns volatility into several investment horizons and jumps and then utilise this decomposition in a newly proposed Realized Jump-GARCH and Realized Wavelet-Jump GARCH models.