Im trying to model heteroskedasticity with known form using MATLAB. The only source I found was a uni-variate example, but Im working with multiple-variate models.

http://www.econometricsbysimulation.com/2012/11/modeling-heteroskedasticity.html

My questions are the following

1. Am I supposed to first generate a random X?

2. To make things simple, I want the heteroskedasticity form to be X,1). In this case, is it correct to generate u ~ Normal(0, X,1))?

3. Then the real problem comes. How do I generate y if both 1 and 2 are correct? In the source, the author used "4" as the coefficient, which seems to be randomly assigned. Is it correct to use random coefficients for my case as well?

Answers will be much appreciated!