Dataset

Data on realized volatility of US and Australian equity markets

University of Tasmania, Australia
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Please contact the creator for access to the data. Data are collated from the SIRCA Thomson Tick-History dataset available by subscription to SIRCA http://www.sirca.org.au/

Copyright is held by SIRCA 

Full description

Data consist of 5 minute transaction prices on 500 US stocks (components of the S&P500 index) and 168 Australian stocks. These are downloaded from the SIRCA database. Substantial cleaning is undertaken and the data are used to create a dataset of daily realized volatility estimates for each stock
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