Jia Liu and John M. Maheu "Improving Markov Switching Models Using Realized Variance", Journal of Applied Econometrics, Vol. 33, No. 3, 2018, pp. 297-318. The data for this paper are proprietary and were obtained from The Center for Research in Security Prices (CRSP), http://www.crsp.com/ and G. William Schwert, http://schwert.ssb.rochester.edu/dstock.htm. Univariate Return Application The data from March 1885 to December 1925 are the daily capital gain returns provided by Bill Schwert; see Schwert (1990). The rest of returns are from the value-weighted S&P 500 index excluding dividends from CRSP, for a total of 1542 observations. Multivariate Return Application The daily returns of three equities (stock symbols: IBM, XOM, and GE) including dividends listed in NYSE are obtained from CRSP. The continuous compounded returns are constructed and the monthly RCOV is computed using daily values following equation (3) of the paper.