From the documentation for regress:
[b,bint,r,rint,stats] = regress(y,X) returns a 1-by-4 vector stats that contains, in order, the R² statistic, the F statistic and its p value, and an estimate of the error variance.
From the documentation for corrcoef:
[R,P]=corrcoef(...) also returns P, a matrix of p-values for testing the hypothesis of no correlation. Each p-value is the probability of getting a correlation as large as the observed value by random chance, when the true correlation is zero. If P(i,j) is small, say less than 0.05, then the correlation R(i,j) is significant.
I can’t describe it better than the documentation does.
