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1# Raw data — WP 623Three DuckDB databases of 5-minute OHLCV bars (2008–2026), each with a single table `ohlcv(symbol, datetime, open, high, low, close, volume)`:45| File | Symbols used | Source |6|---|---|---|7| `futures_5min.duckdb` | ES, NQ, GC, CL, VX (VIX futures) | FirstRate Data (CME/CBOE futures, continuous contracts) |8| `fx_5min.duckdb` | EURUSD, USDJPY, GBPUSD | FirstRate Data (spot FX) |9| `crypto_5min.duckdb` | BTC, ETH | FirstRate Data (crypto spot, USD) |1011The 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/`.12