This paper investigates the impact of jumps in forecasting co-volatility in the presence of
leverage effects for daily crude oil and gold futures. We use a modified version of the jump-robust
covariance estimator of Koike (2016), such that the estimated matrix is positive definite. Using this
approach, we can disentangle the estimates of the integrated co-volatility matrix and jump variations
from the quadratic covariation matrix. Empirical results show that more than 80% of the co-volatility
of the two futures contains jump variations and that they have significant impacts on future
co-volatility but that the impact is negligible in forecasting weekly and monthly horizons.