Looping Issues in MATLAB- immediate help requested

I am trying to estimate a rolling extreme shortfall matrix by looping. In the following code ESdynamic is crated for each column on the simulated matrix.

  % Simulate data set
    mu = [0 0 0 0 0 0];
    A = rand(6);
    Sigma= A * A';
   
    % Simulation of variables
    rng('default')  % For reproducibility
    Data = mvnrnd(mu,Sigma,1000);
    r=Data(:,1);

Now, instead of representing r as just one column of data matrix, I want to out the entire code in a loop so that, at first Esdynamic is populated with column one, than on column 2... at the end we have a matrix of ESdynamic.

 T= length(r);
    conditionalvariance=[];
    %p = [0.5, 0.1, 0.05];
    p=0.5;
    VarMdl = garch(1,1);
    Mdl = arima('ARLags',1,'Variance',VarMdl);
    EstMdl = estimate(Mdl,r);
    [res,v,logL] = infer(EstMdl,r);
    conditionalvariance=[conditionalvariance,v];
    Sigma=conditionalvariance;
    ESdynamic=[];
    VaRdynamic=[];
    
    for P_Index = 1: +1: length(p) 
    P_Value = p(P_Index);
    for J= 1:T
    [Var_Normal, ES_Normal]=hNormalVaRES(Sigma(J),P_Value);
    VaR = Var_Normal;
    ES = ES_Normal;
    disp(J)
    disp('');
    ESdynamic = [ESdynamic,ES];

I also want a Vardynamic matrix. how to ket the loop update it?

    VaRdynamic = []
    end
    ES_Matrix(:,P_Index) = ESdynamic';

Now is it possible to put another loop so that the ESdynamic and VaRdynamic matrices, are generated for p = [0.5, 0.1, 0.05, 0.025, 0.01, 0.001] in a loop?

The plot compares all 6 columns of ESdynamic, for each ...please help

plot(ES_Matrix(:,P_Index));
    hold on
    ESdynamic = [];
    end 
    hold off
    % Local Functions
    function [VaR,ES] = hNormalVaRES(Sigma,p)
        % Compute VaR and ES for normal distribution
        % See [4] for technical details
        
        VaR = -norminv(p);
        ES = -Sigma*quad(@(q)q.*normpdf(q),-6,-VaR)/p;
    
    end

Your kind suggestions are requested.

Answer 1

[Srivardhan Gadila]

If for all values of p the sizes of all the matrices of ESdynamic are same and sizes of all the matrices of VaRdynamic are same respectively then you can initialize them with zeros as follows:

%let size of ESdynamic is mxn (note that it may be different in your case like mxnxox..xq
ESdynamicAllmatrices = zeros([p m n]);

In the for loop based on the variable p assign the value as follows:

ESdynamicAllmatrices(P_Index,:,:) = ESdynamic;

If the sizes are different then consider using cell arrays. Refer to Multidimensional Arrays, zeros and cell.