We propose a multiplicative component model for intraday volatility. The model consists of a seasonality factor, as … volatility, while the latter two account for the impact of the state of the limit order book, utilizing an additive structure … non-linearities in the relationship between the limit order book and subsequent return volatility and underlines the …

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …