C. W. Li and W. K. Li, "On a Double Threshold Autoregressive
Heteroskedastic Time Series Model", Journal of Applied Econometrics,
Vol. 11, No. 3, 1996, pp. 253-274. 

The data are in the DOS file li-li.dat, which is zipped in li-li.zip.

Format of data : Data under three separate columns.
		 First column : date
	         Second column : day of the week
		 Last column  : the Hang Seng Index.
Altogether 2472 lines.

Source : compiled from hard copies provided by the HSI Services Ltd.