Sources for free historical intraday stock index data


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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 Company:Data 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.

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