Sources for free historical intraday stock index data

[thekulsk]

Hi Guys,

I am currently writing a research paper for my MSc, focusing on the extent to which higher frequency data suits particular market conditions when forecasting volatility using MIDAS regression. Basically I am comparing the usefulness of higher frequency data when forecasting the volatility of emerging market indices (Bovespa, BSE, Merval, TWII, JKSE etc) to that of developed economies (S&P500, FTSE, DAX, NIKKEI etc).

So far I have only found the following source for such data:

Finam Russian Brokerage Companyata Export

However, it is fairly limited in the emerging markets it lists and data only goes back as far as Dec 2002. I was hoping to obtain data for a year prior to this, starting Dec 2001. Also I'm not too sure as to the accuracy of this data.

Any help would be greatly appreciated.

Steve
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[futuretradingchamp]

hello kulsk, i can give you my copy of 60 min BSE(bombay stock exchange) data from 1999 year and NSE 60 min data from nov 2001. Data is in metastock format and i use it personally everyday to trade(i bought it from the best data provider in india).

But in return i also want intraday dow data from you. i want to test my system on the US markets.

Do reply if interested. i will email you the data

 

[futuretradingchamp]

Hi Guys,

I am currently writing a research paper for my MSc, focusing on the extent to which higher frequency data suits particular market conditions when forecasting volatility using MIDAS regression. Basically I am comparing the usefulness of higher frequency data when forecasting the volatility of emerging market indices (Bovespa, BSE, Merval, TWII, JKSE etc) to that of developed economies (S&P500, FTSE, DAX, NIKKEI etc).

So far I have only found the following source for such data:

Finam Russian Brokerage Companyata Export

However, it is fairly limited in the emerging markets it lists and data only goes back as far as Dec 2002. I was hoping to obtain data for a year prior to this, starting Dec 2001. Also I'm not too sure as to the accuracy of this data.

Any help would be greatly appreciated.

Steve
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the above mentioned website is worthless! Manys hours of data is missing in between. There are many errors in the data for all indices. i tested many indices using the data from above mentioned site. Dont use it for any trading purpose otherwise u will lose ur everything!

 

[thekulsk]

the above mentioned website is worthless! Manys hours of data is missing in between. There are many errors in the data for all indices. i tested many indices using the data from above mentioned site. Dont use it for any trading purpose otherwise u will lose ur everything!

Hi, as I'm not using the data to trade and purely for research purposes I will see how the finam data fares for now. I am also in the process of sourcing more reliable data through a contact at a bank. As your data is 60-min data I'm afriad this would be of no use to me as I'm specifically interested in higher frequency data (5-min possibly 1-min). Thanks for your response.

Steve

 

[udanii]

the above mentioned website is worthless! Manys hours of data is missing in between. There are many errors in the data for all indices. i tested many indices using the data from above mentioned site. Dont use it for any trading purpose otherwise u will lose ur everything!

Hi,
I am Gaurav Udani , M 4m mumbai , Your 60 mins intraday data would be of real help yo me , but i am afraid i dont have any internationl data to offer , but if u can still mail me the data i will be obliged
Email ( [email protected])
Thank you
Gaurav