Currently I use the EWMA model with the squared logarithmic returns as proxy estimator for the volatility, in order to forecast the volatility one step ahead in an intraday scenario (time frame is a couple of minutes)
However I read and observed the squared returns as volatility estimator has its limitations. So now I want to use a more sophisticated estimator such as Garman-Klass.
My question is:
- Is possible and moreover sensible to combine an estimator such as Garman-Klass with a volatility model like EWMA or any of the ARCH family?
- Or do I even need a volatility model like EWMA or *ARCH when I use these estimator (i.e Garman-Klass) in order to forecast the volatility ?