Felix Chan and Michael McAleer, "Maximum Likelihood Estimation of STAR and
STAR-GARCH Models: Theory and Monte Carlo Evidence", Journal of Applied
Econometrics, Vol. 17, No. 5, 2002, pp. 509-534.

All data are in the file sp500.data, an ASCII file in DOS format. This file
is zipped in the file cm-data.zip. Unix users should use "unzip -a".

There are three columns in the data set. The first column contains the dates
of the observations, which range from 31/12/1985 to 11/4/2000, indicating a
total of 3725 observations. The second column contains the daily S&P 500
Composite Index, which is collected from the DataStream database service.
The third column contains the calculated returns based on the formula 

   r(t) = (y(t) - y(t-1))/y(t-1),
   
where r(t) denotes the returns at time t, and y(t) denotes the S&P 500
Composite Index at time t. 

Readers should note that the value of the S&P 500 Composite Index on a
non-trading day or any public holiday other than Saturday and Sunday is
replaced by the value of the previous trading day. This appears to be a
feature from DataStream's data, and it should be noted to avoid any
confusion.