EViews.com

That seemed to do the trick. Thank you very much for your assistance.

As for your first point: doesn't "!window = 525" set the sample size for estimation as 525 and "!step = 5" set the number of observations to forecast ahead?

Best,
deeh

Hello, I am doing rolling volatility forecasts for my dissertation but I am having issues with the coding. More specifically, I cannot figure out how to save the conditional variance, let alone forecast it. I would also like to add a variance regressor for the conditional variance estimation, but I ...