I hav minute bar FX data and I am trying to fit a realized variance GARCH model using rugarch. This normally works by providing daily returns and daily realized volatility to the model.
Realized Variance is normally calculated as a daily statistic so you get a value for each day. Considering I am using minute bar data, I should have enough observations per hour to calculate hourly realized variance. Would hourly (or N-hourly) realized variance make sense with GARCH models?