I have seen photos of diaries belonging to the Grand Duchesses in various books about the IF, and read quotes from the diaries as well. They are in existence, I presume in GARF - of course Maria and Anastasia's 1918 diaries were burnt and so are not available. Also Alexei's 1916 diary (his first diary) has been published in its entirity (in Russian), the 1917 one is (I believe) missing, and there are many quotes from his 1918 one I think in A Lifelong Passion.