“…However, the high sampling frequency augments microstructure noise effects. Most of the existing studies employ 5-min highfrequency data to compute realized volatility (e.g., Durré & Nardelli, 2008;Fan, Taylor, & Sandri, 2018;Huang, 2018;Kourtis, Markellos, & Symeonidis, 2016;Wang et al, 2015;Wang & Yen, 2018;Xu, 2012). Furthermore, Liu, Patton, and Sheppard (2015) compared more than 400 volatility estimators.…”