Sebastien Laurent, Jeroen V.K. Rombouts, and Francesco Violante, "On the 
Forecasting Accuracy of Multivariate GARCH Models", Journal of Applied 
Econometrics, Vol. 27, No. 6, 2012, pp. 934-955.


Estimation Sample: Daily returns

The daily data have been downloaded from Yahoo Finance. These data are
freely available and are provided in the file d_ret_oc.csv. The data are for
the period from March 02, 1988 to March 31, 1999.  The dataset contains 2740
observations, and it is organized in 11 columns ordered as follows:

1st column: date index
2nd column: ABT [daily open to close return for ABT]
3rd column: BP [daily open to close return for BP]
4th column: CL [daily open to close return for CL]
5th column: EK [daily open to close return for EK]
6th column: FDX [daily open to close return for FDX]
7th column: KO [daily open to close return for KO]
8th column: WMT [daily open to close return for WMT]
9th column: PEP [daily open to close return for PEP]
10th column: PG [daily open to close return for PG]
11th column: WYE [daily open to close return for WYE]

The file d_ret_oc.csv is an ASCII file in DOS format. It is zipped in the
file lrv-data.zip. Unix/Linux users should use "unzip -a".


Forecast Sample: High Frequency Data Selection and Cleaning

1) Source of the data: OMED Database by TickData (www.tickdata.com). This 
is a private data source.

2) Software used for data selection and handeling: TickWrite 6.1.4
(proprietary)

3) The data have been extracted from the database using the following options
in Tickwrite 6.4.1:

a) Field Instrument:
   Begin Date: 1990-01-04
   End Date: 2008-31-13
   Interval: IntraDay
   Intraday Minutes: 1
   Session(s) to Include:
  	Pre-Market: No
  	After-Hours: No

b) Field Settings:
   Fill empty Intevals: Yes 
   Adjust for Splits: Yes
   Note: other options empty
   Fields: Date, Time, Open, High, Low, Close

4) Data cleaning. The following dates have been deleted from the dataset

1999-11-26 2002-11-29 2004-11-25 2005-11-25 2006-11-23 2007-07-04 2008-05-26
1999-12-31 2002-12-24 2004-11-26 2005-12-26 2006-11-24 2007-09-03 2008-07-03
2000-07-03 2003-07-03 2004-12-24 2006-01-02 2006-12-25 2007-11-22 2008-07-04
2000-11-24 2003-11-28 2005-01-17 2006-01-16 2007-01-01 2007-11-23 2008-09-01
2001-06-08 2003-12-24 2005-02-21 2006-02-20 2007-01-02 2007-12-24 2008-11-27
2001-07-03 2003-12-26 2005-03-25 2006-04-14 2007-01-15 2007-12-25 2008-11-28
2001-11-23 2004-05-31 2005-05-30 2006-05-29 2007-02-19 2008-01-01 2008-12-24
2001-12-24 2004-06-11 2005-07-04 2006-07-03 2007-04-06 2008-01-21 2008-12-25
2002-07-05 2004-07-05 2005-09-05 2006-07-04 2007-05-28 2008-02-18 
2002-09-11 2004-09-06 2005-11-24 2006-09-04 2007-07-03 2008-03-21 

Prof. Jeroen Rombouts 
HEC Montreal, 3000, chemin de la Cote-Sainte-Catherine 
Tel.: +1 514 340-646 
Fax.: +1 514 340-6469 
E-mail: jeroen.rombouts [AT] hec.ca