CAPIRE - Realized Data

CAPIRE is a collection of realized quantities referring to the Dow Jones Industrial Average Index constituents made available for teaching and research purposes. 

The variables are available from January 2003 at the daily frequency. The dataset is regularly updated, check you download the most recent version.

The CAPIRE dataset includes: the Realized Variance, the Bipower Variation, the Good Variance, the Bad Variance, the Realized Quarticity.

All series are estimated with both 1-minute data (390 observations per day) and 5-minutes data (78 observations per day).

Users are not allowed to distribute the data and are required to acknowledge the CAPIRE dataset in their scientific contribution or teaching material.

For additional details on the CAPIRE dataset see the CAPIRE website capire.stat.unipd.it