Roy van der Weide, "GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model", Journal of Applied Econometrics, Vol. 17, No. 5, 2002, pp. 549-564. The file rvdw.data, which is zipped in the file rvdw-data.zip, is an ASCII file in DOS format. It contains two columns of data and 3082 observations. The columns contain the daily (log) returns of the Dow Jones Industrial Average and the NASDAQ composite, respectively. The daily observations start at the first of January, 1990, and end in October 2001.