Todd E. Clark and Francesco Ravazzolo, "Macroeconomic Forecasting Performance Under Alternative Specifications of Time-Varying Volatility", Journal of Applied Econometrics, Vol. 30, No. 4, 2015, pp. 551-575. This file describes the data used to produce the results in the published paper. Contact information: todd.clark [AT] clev.frb.org, (216)579-2015. ********** DATA FILES: ********** There are six files, four of them CSV (comma-separated value text) files and four of them XLS (Excel) files: 6977 currentdata.csv 57344 currentdata.xls 218062 realtimeGDP.csv 454656 realtimeGDP.xls 280294 realtimeGDPpriceindex.csv 617984 realtimeGDPpriceindex.xls The CSV files contain the same data as the corresponding XLS files. The CSV files are zipped in the file cr-data-csv.zip, and the XLS files are zipped in the file cr-data-xls.zip. Unix/Linux users should use "unzip -a" for the former, but "unzip" without the text conversion option for the latter. The files contain the time series of data used in the article (all at the quarterly frequency), with rows corresponding to dates and columns to variables. The first row lists the variables. The first column in each file provides the dates of the observation. Quarters 1, 2, 3, and 4 are labeled as months 1, 4, 7, and 10, respectively. currentdata.* (259 obs, 2 variables) File with unemployment rate (UR) and 3-month T-bill rate (ITB3M) realtimeGDP.* (259 obs, 148 variables) File with real-time vintages of real output (GDP or GNP), with vintages ranging from 1975:Q1 through 2011:Q4 realtimeGDPpriceindex.* (259 obs, 148 variables) File with real-time vintages of deflator/price index (GDP or GNP), with vintages ranging from 1975:Q1 through 2011:Q4 Data sources: Unemployment rate and interest rate data (quarterly data are simple averages of monthly observations within each quarter) were obtained from the FAME database of the Federal Reserve Board of Governors. The real time data were obtained primarily from the Federal Reserve Bank of Philadelphia's Real Time Data Set for Macroeconomists. The vintages for quarters 1-4 correspond to the series available in February, May, August, and November of each year. For a few vintages in which the last quarter of data that would normally be available was missing, we used the vintage of data associated with the next month in time, obtained from the ALFRED database of the Federal Reserve Bank of St. Louis.