Font type from Matlab to LateX

I want to export a plot/graph from Matlab to Latex. For various reasons, I want the font type 'Arial' in my graph. I got the following:

As you can see, the font type is different. Everything should be in Arial and I used the following:

set(gca,'FontName','Arial');  
fontname = 'Arial';
set(0,'defaultaxesfontname',fontname);
set(0,'defaulttextfontname',fontname);

What is wrong? Or do I have to amend it when I export the plot?