Readme file
SERIES
B
 Statistical
Methodology
Splines for financial volatility, by F. Audrino and P. Bühlmann, pages 655–670
The real investigations done in this paper are annualized daily log-returns (in percentages)
for two financial instruments for the period January 1990 to October 2003 (for a total of 3376 observations).
For the out-of-sample results of the paper the subsample January 1990 to December 1998 consisting of 2212 observations is used as training period.
Tick-by-tick realized volatilities are also reported.
There is one data file, which is an ASCII file in DOS format. This file, real_data.txt, has five columns and 3376 rows. Dates for the sample are listed in the first column. The variables (whose names appear in the first row of the text file) are as follows:
Date
US S&P500 Index
Realized Volatility of S&P500 Index
30-years US Treasury Bond
Realized Volatility of Treasury Bond
Francesco Audrino
Institute of Mathematics and Statistics
University of St Gallen
Bodanstrasse 6
CH-9000 St Gallen
Switzerland
E-mail: francesco.audrino@unisg.ch
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