Hi,

Usually, most of high frequency data are not free. Oxford-man realized library used to provide aggregated realized variance series for stock market indices but it stopped providing it last year. I have a link for those datasets and can share here if that helps

r/datascience - Oxford-Man Institute’s Realized Library

4 votes and 3 comments so far on Reddit

Best regards,

Burak

On Wednesday, July 26, 2023 at 01:31:16 PM GMT+1, Paolo Chirico <paolo.chirico@uniupo.it> wrote:

Hi,

do you know a site where you can free download high frequency financial

data (like 5-minute price)?

I need it to calculate the daily realized volatility, to be used to

evaluate the goodness of a stochastic volatility model.

Thank you,

Paolo