Eric Eisenstat and Rodney W. Strachan, "Modelling Inflation Volatility", Journal of Applied Econometrics, Vol. 31, No. 5, 2016, pp. 805-820. The data are quarterly CPI inflation rates (civilian seasonally adjusted) from 1947Q2 to 2013Q2 (265 observations) obtained from the Federal Reserve Bank of St. Louis economic database. The data file es-data.txt is an ASCII file in DOS format. It is zipped in the file es-data.zip. Unix/Linux users should use "unzip -a". An online appendix and Matlab code to replicate the results in the paper are available at: http://www.rimir.ro/eric/research.html http://profile.economics.uq.edu.au/strachan/ Please address any questions to: Eric Eisenstat eric.eisenstat [AT] faa.unibuc.ro