Before revision:  We use the Adaptive Multi-Factor (AMF) model estimated by the Groupwise Interpretable Basis Selection (GIBS) algorithm to find the basis assets significantly related to each of the portfolios. The AMF results show that the two portfolios load on very different factors, which indicates that the volatility is not an independent measure of risk, but are related to the basis assets and risk factorsin the related industries.
After revision:  We use the Adaptive Multi-Factor (AMF) model estimated by the Groupwise Interpretable Basis Selection (GIBS) algorithm to find the basis assets significantly related to low and high volatility portfolios. These two portfolios load on very different factors, which indicates that the volatility is not an independent measure of risk, but are related to the basis assets and risk factorsin the related industries.