I think that’s a tricky question. In one sense, they aren’t made of anything since they are elementary fields. Meaning they don’t have constituent parts. But one could still argue that it’s relevant to say that they are of some kind of substance in a sense. The nature of that substance is the domain of Theories of Everything and some argue that the discussion becomes either purely mathematical or somewhat philosophical in nature, more so than a matter of physics anymore. For example, some argue that the fields are all made of math, so to speak, or likewise that their differences are like geometric variations on the same substrate.
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