Different scholars have recently advocated the use of so-called realized volatility measures constructed from the summation of high-frequency intra-daily squared returns as an accurate measure for true volatility. This paper analyzes the daily realized volatility calculated using 5-minute returns of the Nikkei 225 stock index. As a model for realized volatility, I have considered HAR model to compare its forecasting ability with the forecasting ability after applying diagnostic measure on it.