Realized Library


Lunde, Asger, Neil Shephard, and Kevin K Sheppard. 2010. “Realized Library ”.


Our "Realized 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 realized measures are computed every night and recorded on the website.


Last updated on 09/24/2013