Viktor Todorov and Yang Zhang, "Information Gains from using
Short-Dated Options for Measuring and Forecasting Volatility", Journal
of Applied Econometrics, Vol. 37, No. 2, 2022, pp. 368-391.

The raw data used in the article are from the OptionMetrics Ivy DB US,
NYSE Trade and Quote (TAQ), and TickData databases. These are
proprietary data sets and do not permit open access. Hence the raw
data could not be stored here. 

The csv file "Todorov-Zhang-JAE-2021.csv" provides the key variables
used to generate the volatility forecasting results in Tables 2-4. The
file contains 6 volatility estimators for the S&P 500 Index over the
period from 2008-01-03 to 2018-12-31. After data filtering, each
variable has 2758 observations. Details about data filtering are
provided in the Online Appendix.

The file Todorov-Zhang-JAE-2021.csv is an ASCII file in DOS format. It
is zipped in the file tz-data.zip. Unix/Linux users should use "unzip
-a".

The column names are consistent with the notation in the paper:

Date: date in the format of yyyy-mm-dd

RV: realized volatility calculated as described in Section 2.1, equation (2)

TV: truncated volatility calculated as described in Section 2.1,
    equation (3)

OV: option-implied spot volatility calculated as described in Section
    2.2, equation (8)

EV: optimal spot volatility calculated as described in Section 2.3,
    equation (10)

ORV: efficient total quadratic variation calculated as described in
     Section 4.2, equation (31)

JV: risk neutral jump variation as described in Section 5.1

All variables are annualized and reported in variance units. 

The VIX index data used to generate the predictive regression results
in Figure 5 is downloaded from the CBOE website. The market return
data is downloaded from the Kenneth R. French Data Library. 

Permission to use this shared data and any questions should be
directed to:

Viktor Todorov
Department of Finance, Kellogg School of Management
Northwestern University
Evanston, IL 60208, United States of America
Email: v-todorov [AT] northwestern.edu