Run Nonlinear Rolling Regression Code Need Help

[roteirofigo]

I am running a complicated regression concerning ICAPM and using a MIDAS method to compute the weights to in calculating variance,the equations are attached in the word file:
The main regression is ICAPM:
Rt+1=μ+βVar(Rt+1)

and the tricky part is the way to compute Var(Rt+1)
I attached in the end.

It involves a rolling regression and I want to hold all the R-squares and find the coefficients with the highest fit.

How can I import such a complicated equation into Eviews and loop it to get the results?

Thank you guyz....

[roteirofigo]

Can you help me Gareth...?

[EViews Gareth]

Not with the first part.

[roteirofigo]

I know the first part is simple regression.
It's just the way to compute VARIANCE.
Can you help me with that?

[roteirofigo]

No one can do that