[ 2009 FRM Sample Exam ] Quantitative Analysis Q8

jimgreen

 

8. The result of the linear regression is: Y = 0.10 - 0.50 X with a correlation coefficient

R = (-0.90). The fraction of the variance of Y attributable to X is equal to:

A. (-0.90)

B. (+0.90)

C. (+0.81)

D. (-0.50)

jimgreen

 

Correct answer is C

C is correct. R-squared is the square of the correlation coefficient and measures the fraction of the variance of Y that is attributable to X.

R2 = (-0.90)2  = 0.81

Reference:   Schaum's Outline of Probability and Statistics, Spiegel, Schiller, and Srinivasan, 2000.

Type of Question: Quantitative Analysis

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