In this study, I use intraday data on oil and gas futures contracts, and then analyze the data by incorporating open interest variable into the ‘heterogeneous auto-regressive’ (HAR) model of realized volatility, which is measured by range-based estimation within intraday high-low prices. Our findings demonstrate that the open interest provides significant explanation for futures realized volatility. I also demonstrate that the modified model do enhance the forecasting performance of volatility, indicating that the modified model has more accurate predictive capability than the benchmark model, with the results holding for both the in-sample and out-of-sample predictions
