Turan G. Bali and Lin peng, "Is there a Risk-Return Tradeoff? Evidence from
High-Frequency Data", Journal of Applied Econometrics, Vol. 21, No. 8, 
pp. 1169-1198.

In this paper, we use the daily logarithmic returns on the CRSP
value-weighted index, S&P 500 cash index, and S&P 500 index futures.  Both
the CRSP value-weighted index returns and the S&P 500 cash index returns
were obtained from CRSP through Wharton research Data Services who do not
permit open access.  Information on data is available at
wrds.wharton.upenn.edu.

Intraday return data for the S&P 500 cash index and S&P 500 index futures
were obtained from the Institute for Financial Markets who do not permit open
access (http://www.theifm.org/).  The CRSP value-weighted index returns are
available from July 3, 1962 to December 31, 2002. The daily realized and
GARCH volatilities were constructed using intraday data for the following
series and periods: S&P 500 cash index (January 3, 1986 - December 31,
2002), S&P 500 index futures (April 22, 1982 - December 31, 2002).  

The daily implied volatility data were obtained from the CBOE for the period
of January 2, 1990 to December 31, 2002 (VIX.txt).  The federal funds rate
(FED), the default spread (DEF) and the term spread (TERM) were obtained
from the Federal Reserve statistics release website (macrovars.txt).
These data are available at the Federal Reserve Statistical Release:
http://www.federalreserve.gov/releases/h15/data.htm

The files VIX.txt and macrovars.txt are ASCII files in DOS format. They are
zipped in the file bp-data.zip.

All the models can be estimated using Eview and WINRATS.

 
Turan G. Bali (turan_bali [AT] baruch.cuny.edu) 

and 

Lin Peng (lin_peng [AT] baruch.cuny.edu).