Before revision:  The decomposition of volatility into several investment horizons and jumps is possible due to a recently proposed jump wavelet two scale realized volatility estimator (JWTSRV). On exchange rate futures data covering the recent financial crisis , we moreover compare forecasts using several additional realized volatility measures .
After revision:  The decomposition of volatility into several investment horizons and jumps is possible due to a recently proposed jump wavelet two scale realized volatility estimator . We propose a realized Jump-GARCH models estimated in two versions using maximum likelihood as well as observation-driven estimation framework of generalized autoregressive score. We compare forecasts using several popular realized volatility measures on foreign exchange rate futures data covering the recent financial crisis , we moreover compare forecasts using several additional realized volatility measures .