Dear aka2,   I am currently working on my thesis and I am trying to do the exact same code, but i am strugling a bit. Can you please help me. Could you do it in the end. I am new to SAS and have been having a bit of trouble constructing the code. But I am using a macro and started by modifying a code for a rolling window from WHarton Website.   But I also have a doubt. Because, given the model you were trying to estimate, and that I am also trying to estimate.(it is the same) the prediction for t, will be out-of -sample prediction. But I have been trying to undertsand the difference between the differen output options CEV and CPEV, and I understood the CEV would be in sample prediction no?   Best,   Mariana ... View more