Vlookup with arrays and dictionary

Hi all,
I have one code, it works fine, but I have a feeling, that it can be improved/optimized somehow.
Will appreciate all your comments/recommendations/hates/likes
Tried to comment code as much as possible.
Basically - it is a alternative to vlookup() function that works fast on large data sets.

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For example I use many arrays: 1) Array with data to look in; 2) Array with values that should be matched to Array#1; 3) Array with results; 4) dictionary
I tested it on 500k records, it works fine. On more records excel is Not responding for a while, but it still works. I'm afraid that one day this code will show me "Stack Overflow" )
What I was looking for - some unusual solution, some recommendations to optimize my code.
Right now code is quite straight forward: take data - load to array, loop, search, return.