Peter Reihard Hansen, Zhuo Huang, and Howard Howan Shek, "Realized 
GARCH: A Joint Model for Returns and Realized Measures of Volatility", 
Journal of Applied Econometrics, Vol. 27, No. 6, 2012, pp. 877-906.

There are two versions of the data containing 29 stocks, one in .xls Excel
format and the other in .csv ASCII format.

The .csv files are ASCII files in DOS format. They are zipped in the file
hhs-csv-data.zip. Unix/Linux users should use "unzip -a".

The .xls files are binary. They are zipped in the file hhs-excel-data.zip.
The "-a" option should not be used. There is also an .xls file that contains
summary statistics.

Columns in the data are:

  1.Date
  2.Open-close daily return
  3.Realized kernel
  4.Close-close daily return

OX codes to estimate the log-linear Realized GARCH (1,2) model for the stock
'SPY' may be found in the zip file hhs-ox-codes.zip. These are ASCII files
in DOS format, so Unix/Linux users should use "unzip -a".

Before running the file "main.ox", create subfolders "Data" and "Results"
and put "SPY-short.xls" in the former.

The file RealGARCH_Web_Appendix.pdf contains an appendix to the paper.