A dataset containing the daily realized variance, and some of its lags, obtained from 1-minute close prices of the S\&P 500. Similar data has been used in the HAR model in Corsi (2009), the HARQ and SHARQ models in Bollerslev et al (2016) and the tvHARQ and tvSHARQ models in Casas et al (2018). The time period runs from Jan 1990 until Dec 2007 as in Bollerslev et al (2009).
A data frame with 4529 rows and 6 variables.
Daily data from Jan 3, 1990 until Dec 19, 2007 - without weekends and days off
Daily realized variance at time t
Daily realized variance at time t-1
Weekly average realized variance at time t-1
Monthly average realized variance at time t-1
Daily squared root of the realized quarticity at time t-1
Bollerslev, T., Patton, A. J. and Quaedvlieg, R. (2016) Exploiting the errors: A simple approach for improved volatility forecasting. Journal of Econometrics, 192, 1-18.
Bollerslev, T., Tauchen, G. and Zhou, H. (2009) Expected stock returns and variance risk premia. The Review of Financial Studies, 22, 44-63.
Casas, I., Mao, X. and Vega, H. (2018) Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. Url= http://pure.au.dk/portal/files/123066669/rp18_10.pdf
Corsi, F. (2009) A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7, 174-196.