The Oxford-Man Institute's "realised library" contains daily non-parametric measures of how volatility financial assets or indexes were in the past.  Each day's volatility measure depends solely on financial data from that day.  They are driven by the use of the latest innovations in econometric modelling and theory to design them, while we draw our high frequency data from the Reuters DataScope Tick History database. Realised measures are not volatility forecasts. However, some researchers use these measures as an input into forecasting models. The aim of this line of research is to make financial markets more transparent by exposing how volatility changes through time.

This Library is used as the basis of some of our own research, which effects its scope, and is made available here to encourage the more widespread exploitation of these methods.  It is given 'as is' and solely for informational purposes, please read the disclaimer.

Latest Values

Asset Estimator Volatility Latest
S&P 500 (Live) Realized Variance (5-minute) 7.6 December 4, 2017
S&P 500 (Live) Realized Kernel 7.6 December 4, 2017
FTSE 100 (Live) Realized Variance (5-minute) 6.5 December 5, 2017
Nikkei 225 (Live) Realized Variance (5-minute) 7.7 December 5, 2017
DAX (Live) Realized Variance (5-minute) 11.3 December 5, 2017

DAX (Live) RVol

Last Value: 11.33% on December 05, 2017