Hello Together I would like to do a rolling window regression (i.e. explain the returns of the funds with the market return risk free interest rate) on each of about 15,000 US equity funds with monthly data over about 50 years using the CAPM model for a window of 24 months to generate an alpha and then move the last alpha as an insample alpha to the next month and repeat the whole process so that I have a time series of insample alphas. I then want to build the mean over this "benchmark" alpha.

Can anyone help me with this?