R-Squared: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson m (Categorise.) |
imported>Doug Williamson (Add alternative form of name.) |
||
| Line 9: | Line 9: | ||
Other metrics for hedge effectiveness include Slope. | Other metrics for hedge effectiveness include Slope. | ||
R-squared is also sometimes written ''R squared'', without the hyphen. | |||
Latest revision as of 12:09, 2 April 2019
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.
R-squared is also sometimes written R squared, without the hyphen.
