Toshiaki Watanabe, "A Nonlinear Filtering Approach to Stochastic Volatility
Models with an Application to Daily Stock Returns", Journal of Applied
Econometrics, Vol. 14, No. 2, 1999, pp. 101-121.

The data are in a single file called watanabe.data, which is in DOS format
and is zipped in the file watanabe.zip.

Data information:

  Fist column: YYYYMMDD
  Second column: Tokyo Stock Price Index (TOPIX)
  The number of observations: 1794
  Data source: Tokyo Stock Exchange Monthly Statistics Report
 

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