This paper proposes an augmented heterogenous autoregressive (HAR) model with time-varying jumps to forecast the realized volatility (RV) of crude oil futures. Jump-induced volatility of crude oil futures is obtained from a GARCH-jump process. then used to augment the HAR model. The results based on both the in-sample and out-of-sample analyses suggest that jumps offer added informati... https://www.ealisboa.com/limited-value-AXYS-Valhalla-Pen-must-buy/