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Realized measures from the SP500 index from April 1997 to August 2013.
SP500RMA large xts object.
Bollerslev, T., A. J. Patton, and R. Quaedvlieg, 2016, Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting, Journal of Econometrics, 192, 1-18.