Wai Mun Fong and Kim Hock See, "Modelling the Conditional Volatility of
Commodity Index Futures as a Regime-Switching Process", Journal of
Applied Econometrics, Vol. 16, No. 2, 2001, pp. 133-163.

The data are contained in the text file fs-data.dat, which is in DOS format
and is zipped in fs-data.zip.

There are altogether 10 variables in the data file.  The variables are as
follows:

Date

In DD/MM/YY format

Returns

Daily returns on the second nearest futures contract for the Goldman
Sachs Commodity Index (GSCI).  Returns are measured as the daily
difference in natural logarithm of settlement price.  Data for returns
are from the Bloomberg database.

Adj Basis

The adjusted basis, defined as the percentage difference of the
contemporaneous second nearest futures price for day t and the spot
price for day t minus the daily yield on 3-month United States Treasury
bill.  Data for spot prices are from Bloomberg.  Data for Treasury bill
yields are from Datastream.

D (Mon)

Dummy for Monday.

D (Tues)

Dummy for Tuesday

D (Wed)

Dummy for Wednesday

D (Thurs)

Dummy for Thursday

D (Fri)

Dummy for Friday

D (Oct-Feb)

Winter dummy.  Equals one for October through February of each year.

D (Expiration)

Dummy to account for maturity effect.  Equals one for the first two
weeks prior to futures expiration.