Yes, HARWEEK and HARMONTH variables refer to the past and they are already averaged weekly/monthly values. The thing is as a series I cannot pick up one-step-ahead forecasted values that is generated by re-estimated regressions. When I run, the codes generate a series has only 436th forecasted observation.

The below codes give output as I would like to do (one-step-ahead rolling windows forecasting) but I cannot save a series those one-step-ahead forecasted values.

<hansl>
set verbose off
loop i=1..100 -q
    smpl 23+i 335+i
    ols RV5_FTSE const RV5_FTSE(-1) HARWEEK HARMONTH
    fcast 336+i 336+i
endloop
</hansl>

Well you can always use the $fcast accessor to get the result of the last fcast command. So before the loop create a variable to be filled, e.g. like this:

series pointforecast = NA

And then directly after the fcast line but still inside the loop you insert something like:

pointforecast[336 + i] = $fcast

This should give you the wanted series of 1-step-ahead rolling forecasts.

cheers

sven