VOLatility Archive for Realized Estimates (VOLARE)
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.
Cite
@article{arxiv.2602.19732,
title = {VOLatility Archive for Realized Estimates (VOLARE)},
author = {Fabrizio Cipollini and Giulia Cruciani and Giampiero M. Gallo and Alessandra Insana and Edoardo Otranto and Fabio Spagnolo},
journal= {arXiv preprint arXiv:2602.19732},
year = {2026}
}