Datasource for regression model prediction : Machine Learning
There are multiple datasets available in the internet but you need to pay for most of them.
One of the best datasets for starting (and it is free) is the Quantquote Free dataset. 

You can download it from here. 

This is the description (borrowed from their website):


  This collection of daily resolution data goes back to 1998 for all symbols currently active in the S&amp;P500. It is updated quarterly, the last update was 07/31/2013.