A risk manager at Firm SPC is performing a heteroskedasticity test on a portfolio using the White test. In the context of this test, the portfolio is described by the following regression equation: $Y_i = \alpha + \beta X_{ii} + \epsilon_i$

Here, the residuals are calculated using the formula: $\epsilon_i = Y_i - \alpha - \beta X_{ii}$

Given this setup, which of the following options correctly identifies the second step in the White test for detecting heteroskedasticity in this portfolio?