Christian Conrad and Karin Loch, "Anticipating Long-Term Stock Market 
Volatility", Journal of Applied Econometrics, Vol. 30. No. 7, 2015, pp. 
1090-1114.

*****
DATA
*****

The data are provided in four plain ASCII files in DOS format. The
data files are zipped in cl-data.zip. The data are also provided in
Excel spreadsheets and zipped in cl-data-xls.zip. Unix/Linux users
should use "unzip -a" for cl-data.zip only.

(1) cl-returndata.txt: daily log returns of the S&P 500 from Jan 2nd
1969 to Dec 30th 2011 (10852 observations)

Daily return data were obtained from the Federal Reserve Bank of St.
Louis database: http://research.stlouisfed.org/fred2/
 

(2) cl-macrodata.txt: quarterly realized volatilities and macro
variables from 1969Q1 to 2011Q4 (172 observations)

The macro variables included in this file are:

* rvq: quarterly realized volatility (sum of daily squared returns)

* drgdp: real GDP growth (annualized quarter-over-quarter percentage change)

* dip: industrial production growth (annualized quarter-over-quarter
  percentage change)

* dunemp: unemployment rate change 

* dhous: housing starts growth (annualized quarter-over-quarter
  percentage change)

* dcprof: corporate profits growth (annualized quarter-over-quarter
  percentage change)

* infl: GDP deflator inflation (annualized quarter-over-quarter
  percentage change)

** nai: National Activity Index

** no: ISM new orders

** dconss: Michigan Consumer Sentiment Index (change)

** drcons: real personal consumption growth (annualized
  quarter-over-quarter percentage change)

** tspread: Term spread (difference between the 10-year Treasury bond
  yield and the 3-month T-bill rate)

Notes:

* Variables that are included in the SPF dataset were obtained from the
Federal Reserve Bank of Philadelphia database:
http://www.philadelphiafed.org/research-and-data/real-time-center/survey-of-professional-forecasters/

For all variables except corporate profits, we consider the first
release data. This corresponds to the variable "Realiz1" in the
respective dataset for the SPF forecast error statistics. For drgdp,
inflation, and drcons the 1995Q4 first release observation is not
available and is replaced with the respective second release
observation. In line with the SPF dataset, we consider nominal
corporate profits excluding IVA and CCAdj before 2006 and including
IVA and CCAdj since 2006Q1.

** all other variables were obtained from the Federal Reserve Bank of
St. Louis database: http://research.stlouisfed.org/fred2/


(3) cl-spfdata.txt: quarterly SPF forecasts from 1969Q1 to 2011Q4 (172
observations)

This file includes median forecasts for the quarter in which the
survey is conducted (X_2) and forecasts up to four-quarters-ahead
(X_6) for the following variables: drgdp, dip, dunemp, dhous, dcprof,
and infl. The four-quarters-ahead forecasts X_6 are not available for
the 1969Q1-Q3, 1970Q1, and 1974Q3 surveys. They are replaced by
predictions based on X_2 to X_5, see also the data discussion in
Section 3.


(4) cl-rvintradata.txt: daily realized variance based on 5-min
intradaily returns of the S&P 500 from Jan 3rd 2000 to Dec 31st 2010
(2767 observations)

The file contains the daily realized variance measure which is used
for the forecasting evaluation in Section 4.3. The data were obtained
from the Oxford-Man Institute of Quantitative Finance, Realized
Library:

http://realized.oxford-man.ox.ac.uk/data


*********
APPENDIX
*********

The online Appendix contains additional tables and figures. In
particular, all tables and figures related to the results in Section
4.4. are presented.


The GARCH-MIDAS model estimations were implemented in OX. Programs are
available upon request. Please adress any questions to:

Karin Loch
Heidelberg University
karin.loch [AT] awi.uni-heidelberg.de