  We develop further the spot volatility estimator introduced in Hoffmann, Munk
and Schmidt-Hieber (2012) from a practical point of view and make it useful for
the analysis of high-frequency financial data. In a first part, we adjust the
estimator substantially in order to achieve good finite sample performance and
to overcome difficulties arising from violations of the additive microstructure
noise model (e.g. jumps, rounding errors). These modifications are justified by
simulations. The second part is devoted to investigate the behavior of
volatility in response to macroeconomic events. We give evidence that the spot
volatility of Euro-BUND futures is considerably higher during press conferences
of the European Central Bank. As an outlook, we present an estimator for the
spot covolatility of two different prices.
