I recently studied and implemented the intraday periodicity model of Andersen and Bollerslev from here.
Can anyone validate this result and explain the next step in the process for modelling returns and volatility.
Edit : So i fitted Arima models to both un-adjusted and adjusted returns (Rf = R/si) ,but couldn't see any significant improvements in r-squared.
Edit 2 : Have tried a bunch of things (prediction , backtesting ,..). The results do not improve for any model. Could someone point me to the right direction as to what i am doing wrong.
Edit 3: Just tried the weirdest idea i ever had : "Intraday Periodicity adjusted Bollinger Bands". The results weren't great else would have published a paper :).