Raw data — WP 6
Three DuckDB databases of 5-minute OHLCV bars (2008–2026), each with a single table ohlcv(symbol, datetime, open, high, low, close, volume):
| File | Symbols used | Source |
|---|---|---|
futures_5min.duckdb |
ES, NQ, GC, CL, VX (VIX futures) | FirstRate Data (CME/CBOE futures, continuous contracts) |
fx_5min.duckdb |
EURUSD, USDJPY, GBPUSD | FirstRate Data (spot FX) |
crypto_5min.duckdb |
BTC, ETH | FirstRate Data (crypto spot, USD) |
The files total several GB and are not committed. Place them in this directory (or point WP6_DATA_DIR to their location) before running scripts/01_analysis.py. The script reads SELECT datetime, close FROM ohlcv WHERE symbol = ?, builds daily realized volatility from 5-minute log returns (≈ 235 million intraday observations across the 10 instruments) and writes everything to results/ and figures/.