R squared: Difference between revisions
From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson (Create page. Source: R-squared page.) |
imported>Doug Williamson (Layout.) |
||
| Line 1: | Line 1: | ||
''Regression analysis and hedge effectiveness''. | ''Regression analysis and hedge effectiveness''. | ||
R squared is a measure of the goodness of fit between two variables. | ''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. | 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. | An ''R squared'' parameter equal to or greater than 0.80 is generally considered effective. | ||
Revision as of 12:10, 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, with a hyphen.
