Hello,

I want to make the portfolio sort analysis and extract the idiosyncratic volatility,
However, I had to structure the dataset myself because there is no database with cryptocurrencies as well as my market return proxy.
When datasets are merged I have 5 years of returns for each crypto and 5 years for market return but it is only one variable so for other dates of crypto the return has a missing value.
I was wondering what would be an adequate solution to this problem in order to run asreg on a rolling window basis or MacBeth analysis?
I post the piece of the picture of what it looks like bellow.

Thank You for Your time.