Peter R. Hansen, Asger Lunde, and Valeri Voev, "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility," Journal of Applied Econometrics, Vol. 29, No. 5, 2014, pp. 774-799. The data can be used to estimate the realized BetaGARCH for one asset. It is the CVX data used to produce Figure 2 and 3 in the paper. The file hlv-progs.zip contains two versions of the main Matlab file (EstimateRBGARCH_v01.m and EstimateRBGARCH_v01a.m) that will estimate the model, along with a number of functions that it calls. To make it run properly, you have to change path to match your system. It may be necessary to put the functions (.m files) in a folder called Procs. The v01 version is designed to work with binary input files, and the v01a version is designed to work with ASCII input files. The files hlv-binary.zip and hlv-txt.zip contain the data in two different formats. The former contains the files realData_14541.mat and FF-data-2.xlsx. The latter contains the files CVXdata.txt, FFdata.txt, and headers.txt. realData_14541.mat (a binary MatLab file) and its ASCII counterpart CVXdata.txt contain the following data: Date: the date RKspy: univariate RK, SPY CVM101: realized kernel 2x2, SPY and asset CVM201: realized kernel 2x2, SPY and asset CVM202: realized kernel 2x2, SPY and asset pA.open: open price, SPY (TAQ) pA.close: close price, SPY (TAQ) padjA.open: open price, SPY (CRSP) padjA.close: close price, SPY (CRSP) tA.open: opening-time SPY tA.close: closing-time SPY pB.open: open price, CVX (TAQ) pB.close: close price, CVX (TAQ) padjB.open: open price, CVX (CRSP) padjB.close: close price, CVX (CRSP) tB.open: opening-time asset CVX tB.close: closing-time asset CVX nretA: number of returns for SPY nretB: number of returns for asset CVX N2x2: number of observations in refresh time headers.txt: This file just holds column headers that are used to select the columns in EstimateRBGARCH_v01.m FF-data-2.xlsx and FFdata.txt contain the Fama-French data that has been downloaded from Ken French's webpage at: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html Unix/Linux users should use "unzip -a" with hlv-txt.zip and hlv-progs.zip, but not with hlv-binary.zip. Asger Lunde alunde [AT] econ.au.dk