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Coefficient of Determination (R-Squared)

📊Statistical Methods⚠️Risk ManagementFebruary 16, 2012 · 1 min read
  • Typically noted as R2yx or R-squared in the stats report.
  • This value measures the percentage of variation in Y that is explained by the model and will be between 0 and 1 (and not to be confused with the Correlation Coefficient which will be between -1 and 1).
  • Example: a coefficient of determination/R-squared = .80 would mean that 80% of the variation in dependent Y variable is explained by the model’s regression equation.
  • For single variable/simple regression, the coefficient of determination equals the square of the data sample’s correlation coefficient.

The following video from Khan Academy explains the calculation of the Coefficient of Determination.