VOLatility Archive for Realized Estimates (VOLARE)
Fuente:
arXiv
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| Autori principali: | , , , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866910030092042240 |
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| author | Cipollini, Fabrizio Cruciani, Giulia Gallo, Giampiero M. Insana, Alessandra Otranto, Edoardo Spagnolo, Fabio |
| author_facet | Cipollini, Fabrizio Cruciani, Giulia Gallo, Giampiero M. Insana, Alessandra Otranto, Edoardo Spagnolo, Fabio |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_19732 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | VOLatility Archive for Realized Estimates (VOLARE) Cipollini, Fabrizio Cruciani, Giulia Gallo, Giampiero M. Insana, Alessandra Otranto, Edoardo Spagnolo, Fabio Statistical Finance 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. |
| title | VOLatility Archive for Realized Estimates (VOLARE) |
| topic | Statistical Finance |
| url | https://arxiv.org/abs/2602.19732 |