Geoffrey F. Loudon, Wing H. Watt, and Pradeep K. Yadav, "An Empirical
Analysis of Alternative Parametric ARCH Models", Journal of Applied
Econometrics, Vol. 15, No. 2, 2000, pp. 117-136.

The file lwydata.zip contains the file lwydata.dat, which is an ASCII file 
in DOS format.

lwydata.dat contains dates and levels of the FT All Share Price Index for
the period 1969:12:31-1997:10:29 obtained from Datastream (7261
observations). Dates have the format yyyymmdd.