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VOLatility Archive for Realized Estimates (VOLARE)

Author

Listed:
  • Fabrizio Cipollini
  • Giulia Cruciani
  • Giampiero M. Gallo
  • Alessandra Insana
  • Edoardo Otranto
  • Fabio Spagnolo

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.

Suggested Citation

  • Fabrizio Cipollini & Giulia Cruciani & Giampiero M. Gallo & Alessandra Insana & Edoardo Otranto & Fabio Spagnolo, 2026. "VOLatility Archive for Realized Estimates (VOLARE)," Papers 2602.19732, arXiv.org.
    • Handle: RePEc:arx:papers:2602.19732
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    References listed on IDEAS

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