Gold Spot Price (XAU/USD) Minute-Level OHLCV Dataset with Realized Volatility and Regime Indicators: 2003–2025

This dataset accompanies the research paper "Gold Volatility Regime Analysis Across Global Crises: Evidence from 22 Years of Minute-Level OHLCV Data (2003–2025)." Contents: daily_ohlcv_clean.csv — 6,763 daily observations of gold spot price (XAU/USD) including open, high, low, close, volume, log returns, and five OHLCV-based range volatility estimators: close-to-close, Parkinson (1980), Garman-Klass (1980), Rogers-Satchell (1991), and Yang-Zhang (2000). All volatility measures are provided in both raw daily variance and annualized form. Crisis period labels are included. realized_volatility.csv — 6,761 daily observations of model-free intraday volatility measures constructed from 7.4 million minute-level observations, including Realized Variance (RV), Bipower Variation (BV), Jump Component, Jump Ratio, and annualized Realized Volatility. Used in HAR-RV estimation following Corsi (2009). clean_gold_data.csv --- ~7.5 million one minute observations of gold spot price (XAU/USD) including open, high, low, close, volume Coverage: June 2003 – August 2025 Asset: Gold spot price, XAU/USD Frequency: Daily (aggregated from minute-level source data)

搜集汇总

背景与挑战

背景概述

该数据集提供2003年至2025年黄金现货价格（XAU/USD）的分钟级OHLCV数据，并在此基础上构建了每日频率的OHLCV数据、五种经典波动率估计量以及模型无关的已实现波动率指标（包括已实现方差、双幂次变差、跳跃成分等）。数据集包含约750万条分钟级观测和超过6700条日度观测，附有危机时期标签，适用于黄金波动率制度分析及高频金融计量研究。