I am not sure if this is the right site, I hope so! But it is half coding half econometric so I guess the answer can only be given from finance professional.
In matlab it is possible to run robust regressions by putting the option 'RobustOpts','on' in fitlm.
In the output there is also the $R^2$ and adjusted-$R^2$. However, my question is: $R^2$ is a typical concept of min squared residuals, does this apply to robust regressions?
And what is exactly the $R^2$ in that specific context?