Forsberg, L. and T. Bollerslev, "Bridging the Gap Between the
Distribution of Realized (ECU) Volatility and ARCH modeling (of the
EURU): The GARCH-NIG model", Journal of Applied Econometrics, Vol. 17,
No. 5, 2002, pp. 535-548.

The ECU/USD high-frequency data used in this paper to derive the
realized volatility are the property of Olsen & Associates in Zürich,
Switzerland, who do not permit open access. Hence the data cannot be
lodged here. However, the realized volatilities may be obtained from the
corresponding author after obtaining explicit permission from Olsen &
Associates for the transfer of the data for academic research purposes.

The ECU/USD data can be ordered at <http://www.olsendata.com/> 
The following threads will be useful: 
Historical data > Catalog > fx-spot (page 5) 
The instrument is: XEU_USD 

The "in-sample" daily realized volatilities for the ECU/USD were constructed
by summing squared intraday five minute returns. The sample spans the period
from January 3, 1989 until December 30 1998. The original tick (five minute)
data was "cleaned" for weekends and holidays as outlined in Andersen et al.
(2000, 2001).  In addition, we also excluded nine days in January and
February 1989 on which the realized volatility was less than 0.005. These
days are directly associated with problems in the data-feed early on in the
sample. None of the results are sensitive to these additional exclusions.
This results in a sample of 2428 daily realized volatilities. 

The 780 daily "out-of-sample" EURO/USD returns span the period from January
5, 1999 through December 31, 2001. The data are contained in the file named 
EuroUsd9901.dat. This is an ASCII file in DOS format. It is zippd in the
file fb-data.zip.

The columns in the file EuroUsd9901.dat are

	Column 1: Date in the format: MM-DD-YY
	Column 2: Returns 

References: 

Andersen TG, Bollerslev T, Diebold FX, Labys P. 2000. Exchange rate returns 
standardized by realized volatility are nearly Gaussian. Multinational 
Finance Journal 4: 159-179.

Andersen TG, Bollerslev T, Diebold FX, Labys P. 2001. The distribution of 
realized exchange rate volatility. Journal of the American Statistical 
Association 96: 42-55.

Lars Forsberg, PhD
Uppsala University
Department of Information Science
Division of Statistics
Box 513
SE-751 20 Uppsala
Sweden

Lars.Forsberg@dis.uu.se