“…In our study, we employ the superior volatility measures, realized volatility (RV), which has been addressed in the existing literature (e.g., Ji & Zhang, 2019;Liang, Wei, Li, Zhang, & Zhang, 2019;Liang, Wei, & Zhang, 2020;Luo, Ji, Klein, Todorova, & Zhang, 2020;Ma, Liao, Zhang, & Cao, 2019;Qiu, Zhang, Xie, & Zhao, 2019;Tang, Xiao, Wahab, & Ma, 2020;Wang, Pan, & Wu, 2017;Wen, Gong, & Cai, 2016;Wen, Zhao, Zhang, & Hu, 2019;Zhang, Ma, Wang, & Liu, 2019). Subsequently, based on the RV, Corsi (2009) proposes the Heterogeneous Autoregressive (HAR) model.…”