中文摘要：

在20支上证A股股票高频日内数据的基础上,考虑成交量、交易次数和各种形式的隔夜回报对已实现极差的影响.为了考查影响效果,我们将加入这些滞后变量的增广HAR模型同传统HAR模型进行比较.研究结果表明,在样本内预测上这些滞后变量都对已实现极差有一定的影响,然而在样本外预测效果方面,加入这些滞后变量后的增广HAR模型同传统HAR模型相比并没有显著提高.

英文摘要：

Based on the high--requency intraday data of 20 stocks of A-share index of Shanghai Stock Exchange,we investigate the effects of trading volume and number of trades as well as in various specifications of overnight returns for realized range. For this purpose,the augmented HAR models by adding these lagged variables are compared with the traditional HAR model. The results show that these variables exhibit some in-sample forecasting power,but the accuracy improvement of out-of-sample forecasts is non-significant.