I am interested in predicting the PnL of a gamma scalping strategy which trades only once per day. For simplicity, let's say we can always trade at the daily close. So, what I need to predict are the daily squared returns. I saw that there are various estimators based on intraday data, for example Rogers Satchell, Garman Klass, Yang Zhang, etc.

I can see that these estimators are useful when I am actually trading intraday. Also, for example if I do an EWMA based on historical Garman Klass volatility, I get very good results in predicting the next day Garman Klass volatility. However, this is not the case if I use an estimator based on historical intraday data to predict next day close to close squared returns.

Are intraday estimators useful at all for my application and is there a way to make them work to predict close to close?



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