Jonathan Wright, "Testing for a Unit Root in the Volatility of Asset
Returns", Journal of Applied Econometrics, Vol. 14, No. 3, 1999, 
pp. 309-318. 

The data consist of 4 time series, each in a separate file, obtained from
Bloomberg:

mark.dat:  Daily $-DM exchange rate over the calendar years 1986-1996.
pound.dat: Daily $-Pound exchange rate over the calendar years 1986-1996
yen.dat:   Daily $-Yen exchange rate over the calendar years 1986-1996
stock.dat: Daily SP500 index from Jan. 4 1982 to Sep. 23 1994.

For each exchange rate, the data give $ per unit foreign currency.  The
returns can be constructed as the differences of the logs.  For the $-DM
data, there are 2,697 observations.  For the $-Pound and $-Yen data, there
are 2,681 observations.  For the SP500 data, there are 3,209 observations.

All four files, which are in DOS format, are zipped in the file wdata.zip.