Before revision:  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. On currency futures data covering the period of recent financial crisis  we moreover compare the forecasts from Realized GARCH model using several additional realized volatility measures.
After revision:  Using jump wavelet two scale realized volatility estimator (JWTSRV) . On exchange rate futures data covering the period of recent financial crisis we moreover compare the forecasts from Realized GARCH model using several additional realized volatility measures.