Step 1: writing down the measurement equation and transition equation, initializing the state vector;
Step 2: forecasting the measurement equation given the initial values;
Step 3: updating the inference about the state vector incorporating kalman gain matrix and the prediction error;
Step 4: forecasting the state vector of the next time period conditioning on the updated values of the previous period;
Step 5: calculating the log-likelihood function under a certain distribution assumption and maximize the log-likelihood, usually a Gaussian distribution is applied.

Sub GetData()

    Dim DataSheet As Worksheet
    Dim EndDate As Date
    Dim StartDate As Date
    Dim Symbol As String
    Dim qurl As String
    Dim nQuery As Name
    
    Application.ScreenUpdating = False
    Application.DisplayAlerts = False
    Application.Calculation = xlCalculationManual
    
    Set DataSheet = ActiveSheet
  
        StartDate = DataSheet.Range("B1").Value
        EndDate = DataSheet.Range("B2").Value
        Symbol = DataSheet.Range("B3").Value
        Range("C7").CurrentRegion.ClearContents
        
        qurl = "http://ichart.yahoo.com/table.csv?s=" & Symbol
        qurl = qurl & "&a=" & Month(StartDate) - 1 & "&b=" & Day(StartDate) & _
            "&c=" & Year(StartDate) & "&d=" & Month(EndDate) - 1 & "&e=" & _
            Day(EndDate) & "&f=" & Year(EndDate) & "&g=" & Range("E3") & "&q=q&y=0&z=" & _
            Symbol & "&x=.csv"
        Range("b5") = qurl
                  
QueryQuote:
             With ActiveSheet.QueryTables.Add(Connection:="URL;" & qurl, Destination:=DataSheet.Range("C7"))
                .BackgroundQuery = True
                .TablesOnlyFromHTML = False
                .Refresh BackgroundQuery:=False
                .SaveData = True
            End With
            
            Range("C7").CurrentRegion.TextToColumns Destination:=Range("C7"), DataType:=xlDelimited, _
                TextQualifier:=xlDoubleQuote, ConsecutiveDelimiter:=False, Tab:=True, _
                Semicolon:=False, Comma:=True, Space:=False, other:=False
            
            Range(Range("C7"), Range("C7").End(xlDown)).NumberFormat = "mmm d/yy"
            Range(Range("D7"), Range("G7").End(xlDown)).NumberFormat = "0.00"
            Range(Range("H7"), Range("H7").End(xlDown)).NumberFormat = "0,000"
            Range(Range("I7"), Range("I7").End(xlDown)).NumberFormat = "0.00"

End Sub