R-Squared: Difference between revisions
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imported>Doug Williamson (Create page. Sources: The Treasurer Feb 2018, p25 & KPMG-FINCAD webpage https://www.cmegroup.com/education/files/basics-of-hedge-effectiveness.pdf) |
imported>Doug Williamson m (Categorise.) |
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Revision as of 12:00, 15 February 2018
Regression analysis and hedge effectiveness.
R-squared is a measure of the goodness of fit between two variables.
In hedge effectiveness testing, it measures how closely the value of the hedging instrument tracks the value of the underlying exposure being hedged.
An R-squared parameter equal to or greater than 0.80 is generally considered effective.
Other metrics for hedge effectiveness include Slope.
