Factor Model-Empty answer

Hi everyone, I'm trying to run a multivariate regression in order to estimate a factor model. Everything is running but when I look at the results my variables are empty. For example beta in the Workspace is: []. The same for the other results. Any hint?

close all clear all clc

%Data Import data=importdata('PortfolioData.xlsx');

%% Naming Variables

Dates=data.data.Return(1,181:end);

Dates=Dates';

Identities=data.data.Return(:,1);

Returns=data.data.Return(2:end,181:end);

Returns2=[Identities(2:end,1) Returns];

Returns2=Returns2';

FReturns=fints(Dates, Returns2(1:end-1,1));

%% Define Factor list

FactorList = {'MktmRf'; 'SMB'; 'HML'; 'MOM' };

MKTMRF=data.data.Factors(:,3);

SMB=data.data.Factors(:,4);

HML=data.data.Factors(:,5);

MOM=data.data.Factors(:,6);

FactorData = [MKTMRF SMB HML MOM];

%% Get Information about the data

SeriesList=fieldnames(FReturns,1);

AssetList=setdiff(SeriesList, FactorList);

NumSeries = numel(SeriesList);

NumAssets = numel(AssetList);

%% Primary controls

TMonth = 9; % terminal month for each historical analysis period

Window = 5; % historical analysis period in years

MaxNaNs = 4*260; % max number of daily NaNs in an analysis period

%% Set up date math

StartYear = year(Dates(1));

StartMonth = month(Dates(1));

EndYear = year(Dates(end));

EndMonth = month(Dates(end));

NumPeriods = EndYear - StartYear - Window + 1;

%% AnalysisPeriod = NaN(NumPeriods,1);

Alpha = NaN(NumAssets, NumPeriods);

Beta = NaN(NumAssets, NumPeriods);

SMB = NaN(NumAssets, NumPeriods);

HML = NaN(NumAssets, NumPeriods);

Sigma = NaN(NumAssets, NumPeriods);

StdAlpha = NaN(NumAssets, NumPeriods);

StdBeta = NaN(NumAssets, NumPeriods);

StdSMB = NaN(NumAssets, NumPeriods);

StdHML = NaN(NumAssets, NumPeriods);

FFLLF = NaN(NumPeriods,1);

FFDoF = NaN(NumPeriods,1);

FFXLLF = NaN(NumPeriods,1);

FFXDoF = NaN(NumPeriods,1);

        %%Step 8 - main loop

TYear = StartYear + Window; % initial terminal year

for K = 1:NumPeriods % Step 8a - get start and end dates for current analysis period StartDate = datenum(TYear - Window,TMonth,eomday(TYear,TMonth)) + 1; EndDate = datenum(TYear,TMonth,eomday(TYear,TMonth)); % Step 8b - locate actual start and end dates in the data StartIndex = find(Dates >= StartDate,1,'first'); EndIndex = find(Dates <= EndDate,1,'last');

AnalysisPeriod(K) = Dates(EndIndex); % Step 8c - determine active assets for current analysis period %%%%OK

Active = true(NumAssets,1); for i = 1:NumAssets TestActive = sum(~isfinite(fts2mat(FReturns.(AssetList{i})(StartIndex:EndIndex)))); if TestActive > MaxNaNs; Active(i) = false; end end NumActive = sum(Active);

% Step 8d - set up regression with active assets over current date range %%%OK

Dates = Dates(StartIndex:EndIndex);

AssetData = fts2mat(FReturns.(AssetList));

AssetData = AssetData(StartIndex:EndIndex,Active);

FactorData = FactorData(StartIndex:EndIndex,:);

AssetData = AssetData - repmat(FactorData(:,1),1,size(AssetData,2));

NumSamples = size(AssetData,1);

Design = cell(NumSamples,1); for t = 1:NumSamples Design{t} = repmat([ 1, FactorData(t,2:4)],NumActive,1); end

XDesign = cell(NumSamples,1); for t = 1:NumSamples XDesign{t} = repmat(FactorData(t,2:4),NumActive,1); end % Step 8e - set up seemingly-unrelated regression

FactorDesign = convert2sur(Design,1:NumActive); XFactorDesign = convert2sur(XDesign,1:NumActive);

    % Step 8f - multivariate normal regression
  
  MaxIter = 1000;
  TolObj = 1.0e-10;
  TolParam = 1.0e-8;
  
  [Param, Covar] = ecmmvnrmle(AssetData, FactorDesign, MaxIter, TolParam, TolObj);
  
StdParam = ecmmvnrstd(AssetData, FactorDesign, Covar, 'fisher');
  
% estimate model with Alpha = 0 restriction
  
[XParam, XCovar] = ecmmvnrmle(AssetData, XFactorDesign, MaxIter, TolParam, TolObj);

% Step 8g - compute log-likelihood functions

FFLLF(K) = ecmmvnrobj(AssetData, FactorDesign, Param, Covar); FFXLLF(K) = ecmmvnrobj(AssetData, XFactorDesign, XParam, XCovar); FFDoF(K) = NumActive; FFXDoF(K) = NumActive;

% Step 8h - pack estimates into analysis variables Param = reshape(Param,4,NumActive)'; StdParam = reshape(StdParam,4,NumActive)'; Alpha(Active,K) = Param(:,1); Beta(Active,K) = Param(:,2); SMB(Active,K) = Param(:,3); HML(Active,K) = Param(:,4);

Sigma(Active,K) = sqrt(diag(Covar)); StdAlpha(Active,K) = StdParam(:,1); StdBeta(Active,K) = StdParam(:,2); StdSMB(Active,K) = StdParam(:,3); StdHML(Active,K) = StdParam(:,4); % Step 8i - increment year by 1

TYear = TYear + 1; end %%