Thanks Murphy.

I may be wrong but I believe that proc arima only allows me to write the autocovariances (up to a specified number of lags) to an output SAS data set by using OUTCOV option.

However, what I need it is not the first order autocovariance of the complete return series, but a series of first order autocovariances. The ideal output dataset would be for example:

DATE RET COV ...... .... .... 12May2010 0.01 .... 13May2010 0.012 .... 14May2010 0.008 .... ...... .... ....

where COV=Cov(Rt;Rt-1) is re-calculated for each day t (i.e. considering the series of returns and lagged returns up to day t).

Any idea how to do this? Is it still something I can accomplish using proc arima? Or I need iterative procedures?

Many thanks, MM