VOLatility Archive for Realized Estimates (VOLARE)
Fabrizio Cipollini, Giulia Cruciani, Giampiero M. Gallo, Alessandra Insana, Edoardo Otranto, Fabio Spagnolo

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…
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Taxonomy
TopicsFinancial Risk and Volatility Modeling · Complex Systems and Time Series Analysis · Stock Market Forecasting Methods
