The SPDR S\&P500 index open-close return and the realized kernel volatility for the period 2002-01-02 to 2008-08-29 from the paper of Hansen, Huang and Shek (2011). Used for illustrating the implementation of the Realized GARCH model in rugarch.
An xts object.
Journal of Applied Econometrics Data Archive
Hansen, P. R., Huang, Z., and Shek, H. H. (2012). Realized GARCH: a joint model for returns and realized measures of volatility. Journal of Applied Econometrics, 27(6), 877–906.