3 pages annswer for matlab

using matlab answer

You want to explore if the factor volatilities of the size and value factor have an impact on the factor volatility of the momentum factor. To investigate this issue you first subtract the sample mean from all factors, that is, you construct the mean-adjusted time series vectors SMBt=SMBtSMBt HMLt=HMLtHMLt UMDt=UMDtUMDt where SMBt=T1t=1TSMBt,HMLt=T1t=1THMLt, and UMDt=T1t=1TUMDt. Note that one can interpret SMBt simply as the (estimated) regression residuals from a regression where one regresses the size factor on a vector of ones, that is, SMBt=u^SMB,t. In the same manner, HMLt=u^HML,t and UMDt=u^UMD,t. Now, implement the following model for modeling the conditional variance for the momentum factor: u^UMD,t2=0+1u^UMD,t12++2u^SMB,t12++3u^HML,t12+t. Report the point estimates and the corresponding t-statistics for the parameter vector . Note: =(0,1,2,3)) What do you conclude