I don't know what kind, specifically. Ochre covers a wide range of natural earth pigments with different compositions, but usually iron-rich.
I dig this stuff out of cracks in the Canadian Shield for paint pigments. It's naturally colourfast and very close to, if not a little less pure than what's used in commercial paint.
I'm no geologist but I live on the shield, and it's extremely fascinating. It's so tough that many house foundations are built around it rather than break through it, so I literally have some Precambrian rock sticking into my basement. I use it as a shelf.
The main site where I dig out ochre, which I'm assuming is an iron band, is just a few minutes walk from where I live.