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Foreign Exchange

Realized Volatility & High-Frequency FX Data

  • VOLARE (VOLatility Archive for Realized Estimates) CSV Global FX — Open research infrastructure providing standardized realized volatility and covariance measures for exchange rates, constructed from ultra-high-frequency tick-level data. Delivers realized variance, bipower variation, semivariances, realized quarticity, realized kernels, and multivariate realized covariance — computed at 1-minute and 5-minute sampling frequencies. FX pairs use mid-quote prices from continuous 24-hour trading. Covered exchange rates are listed in Appendix Table A.2 of the reference paper. See also: Equities & Asset Pricing for the full VOLARE description and equity coverage | Commodities & Futures for futures coverage.

Central Bank & Official Exchange Rates

  • FRED — Exchange Rates (Federal Reserve) API CSV Python US — Free access to 260+ exchange rate series via FRED, including the Federal Reserve's H.10 Foreign Exchange Rates (daily noon buying rates for 26 currencies against the USD). Also hosts BIS effective exchange rate indices and trade-weighted dollar indices. Data from 1971–present. Downloadable as CSV. Python access via fredapi or pandas-datareader.
  • ECB Euro Foreign Exchange Reference Rates API CSV Python Global — Daily reference exchange rates for 30+ currencies against the EUR, published by the European Central Bank since 1999. Updated around 16:00 CET on working days. Free programmatic access via the ECB's SDMX 2.1 RESTful API (no authentication required). Python access via pandasdmx. Widely used as an authoritative source for EUR-based cross rates.
  • BIS Effective Exchange Rates CSV Global — Nominal and real effective exchange rate indices for 64 economies, computed as geometric trade-weighted averages of bilateral exchange rates. Broad indices cover 64 economies; narrow indices cover 26–27 economies. Monthly frequency, long time series. Useful as measures of international competitiveness and as components of financial conditions indices. Downloadable as single CSV. Also available via FRED (175 series). R access via the BIS package.

Open-Source & API-Based FX Data

  • Frankfurter API Global — Free, open-source currency exchange rate API powered by ECB data. Provides current and historical rates for 30+ currencies since 1999. No API key required. Lightweight REST API ideal for programmatic access. (GitHub)
  • Free Currency Exchange Rates API (GitHub) API Global — Free, open-source API with daily exchange rates for 150+ currencies, updated automatically. No authentication required. Historical data available. Served via GitHub Pages / CDN.

See also: Asset Classes for an overview of all asset class data | Equities & Asset Pricing for equity volatility data | Economic & Macroeconomic Data for macro drivers of exchange rates | Python Tools & Books for general financial data packages.