Fabio Fornari and Antonio Mele, "Sign and Volatility Switching ARCH
Models: Theory and Applications to International Stock Markets", Journal
of Applied Econometrics, Vol. 12, No. 1, 1997, pp. 49-66.

The DOS file fm-data.asc is zipped in fm-data.zip. It contains a 1493 x 6
matrix of data. The 1493 observations are daily for the period January 3,
1990 to October 27, 1995. Columns contain logarithmic rates of change of
the stock indices of US, Japan, Germany, UK, France and Italy. Data are
taken from DRI database.