VOLatility Archive for Realized Estimates (VOLARE)

TL;DR

VOLARE is an open platform that standardizes and provides comprehensive realized volatility and covariance estimates from high-frequency financial data, supporting analysis across multiple asset classes with advanced visualization and modeling tools.

Contribution

It introduces a standardized infrastructure for realized volatility measures from ultra-high-frequency data, addressing data heterogeneity and providing tools for analysis and visualization.

Findings

Provides a comprehensive set of realized volatility estimators.

Supports real-time volatility modeling and visualization.

Ensures methodological consistency across assets.

Abstract

VOLARE (VOLatility Archive for Realized Estimates - https://volare.unime.it) is an open research infrastructure providing standardized realized volatility and covariance measures constructed from ultra-high-frequency financial data. The platform processes tick-level observations across equities, exchange rates, and futures using an asset-specific pipeline that addresses heterogeneous trading calendars, microstructure noise, and timestamp precision. For equities, price series are cleaned using a documented outlier detection procedure and sampled at regular intervals. VOLARE delivers a comprehensive set of realized estimators, including realized variance, range-based measures, bipower variation, semivariances, realized quarticity, realized kernels, and multivariate covariance measures, ensuring methodological consistency and cross-asset comparability. In addition to bulk dataset download, the platform supports interactive visualization and real-time estimation of established volatility models such as HAR and MEM specifications.