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 Thomson 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.

The volatility data can be visually explored. We make the complete up-to-date dataset available for download. Lists of assets covered and realized measures available are also available.

Database Statistics

Latest Update Number of Assets Total Records Library Version
September 17, 2021 31 2,774,807 0.3

Latest Values

Asset Estimator Volatility Latest
S&P 500 Index Realized Volatilty (5-min Sub-sampled) 10.02% Sep 17, 2021
FTSE 100 Realized Volatilty (5-min Sub-sampled) 17.69% Sep 17, 2021
EURO STOXX 50 Realized Volatilty (5-min Sub-sampled) 19.07% Sep 17, 2021
Nikkei 225 Realized Volatilty (5-min Sub-sampled) 7.30% Sep 17, 2021
AEX index Realized Volatilty (5-min Sub-sampled) 17.63% Sep 17, 2021
HANG SENG Index Realized Volatilty (5-min Sub-sampled) 21.62% Sep 17, 2021