squared return prediction errors gives an adequate approximation of the unobserved realised conditional variance for both the …

Ding, Granger and Engle (1993) and Ding and Granger (1996). Our prediction experiments use high frequency price returns … variations help less in the prediction of future realized volatility, than past "small" jump power variations. Additionally, we …, are strongly correlated with future volatility, and that past downside jump variations matter in prediction. Finally …