i need to export 1000000 records in excel but it gives error outof memmory

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ASP.NET

Dear,
I need to export 1000000 records in excel but it gives out of memory exception.

Please find the below code which I used in the exporting record it works well for 3.5 lacks record

Response.ContentType = "application/vnd.ms-excel";
       string FileName = "PoliciesDetailsForBranch";
       Response.AppendHeader("content-disposition", "attachment; filename=" + FileName + ".xls");
       GridView gv = new GridView();
       this.EnableViewState = false;
       gv.DataSource = (DataTable)dt;
       gv.DataBind();
       this.ClearControls(gv);
       System.Web.UI.HtmlTextWriter hw = new System.Web.UI.HtmlTextWriter(Response.Output);
       gv.RenderControl(hw);
       Response.End();

Please help me to overcome with this issue.