Tobias Rydén, Timo Teräsvirta, and Stefan Åsbrink, "Stylized Facts of Daily Return Series and the Hidden Markov Model", Journal of Applied Econometrics, Vol. 13, No. 3, 1998, pp. 217-244. Note: The authors' names, using TeX's conventions for accents, are actually Ryd\'en, Ter\"asvirta, and \AA sbrink. The time series analyzed is the long (17054 observations) daily return series of the S&P 500 stock index originally compiled by William Schwert. Observations are first differences of logarithms. First observation: 3 January 1928 Last observation: 30 April 1991 These data are in the file sp500.data, in the form of a long column vector. This file is zipped in the file rta-data.zip. The data file is in DOS format; those on Unix systems should use "unzip -a" when unzipping it. The file was sent to the authors by Clive Granger. The same series up until the end of December 1984 is used in French, K.R., G.W. Schwert and R.F. Stambaugh (1987), "Expected stock returns and volatility", Journal of Financial Economics, 19, 3-30. It is used in its entirety in Ding, Z., C.W.J. Granger and R.F. Engle (1993), "A long memory property of stock market returns and a new model", Journal Empirical Finance, 1, 83-106. and in Granger, C.W.J. and Z. Ding (1995), "Some properties of absolute return. An alternative measure of risk", Annales d'Economie et de statistique, 40, 67-91.