Yi-Ting Chen and Chung-Ming Kuan, "Time irreversibility and EGARCH
effects in US stock index returns", Journal of Applied Econometrics,
Vol. 17, No. 5, 2002, pp. 565-578.

The data are in six separate files, each of which is an ASCII file in DOS
format. They are all zipped in the file ck-data.zip. 

DJID.dat       The daily returns of the Dow Jones Industrial Averages 
               index, 1990.01.01 - 1999.12.31.

NACD.dat       The daily returns of the National Association of Securities
               Dealers Automated Quotations Composite index, 
               1990.01.01 - 1999.12.31.

NYCD.dat       The daily returns of the New York Stock Exchange Composite 
               index, 1990.01.01 - 1999.12.31.

PETD.dat       The daily returns of the Pacific Exchange Technology index,
               1990.01.01 - 1999.12.31

SP5D.dat       The daily returns of the Standard and Poor's 500 index,
               1990.01.01 - 1999.12.31
               
RU2D.dat       The daily returns of the Russell 2000 index,
               1990.01.01 - 1999.12.31.


Each file contains 2526 observations. Let P_t be the stock index at time t.
The daily return at time t is defined as 100*(log(P_t)-log(P_{t-1})).