I don't have much experience with volatility modeling using intraday data but I'm in the process of collecting 5mins data. Currently I have ~6 months of data. Is it enough to use these models with such short history? Which one should perform better out of sample having this small amount of data?
Concidering 22 days of trading per month you have approximatly 132 days of trading. I highly doubt that this will be sufficient for any forecasting. The sample might be too small. Have a look here: http://research.stlouisfed.org/wp/2012/2012-008.pdf Erdemlioglu, Laurent and Neely used the data of ~10 years to conduct their survey.