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Here, a regression analysis has been made to view the predictability of the yields of China
Governments 10 year bond taking the yields of 10 year G-Secs of India as independent
variables.
SUMMARY OUTPUT
Regression Statistics
Multiple R
R Square
Adjusted R
Square
Standard Error
Observations
Analysis
0.0633
R
square
value
signifies
how well the regression line
0.0040
approximates the real data. This number tells you how
-0.0121 much of the output variables variance is explained by the
0.6402 input variables variance. Ideally we would like to see this
at least 0.6 (60%) or 0.7 (70%).But, here it is only .
4%.So,variations in Yields of Chinese G secs are not well
64 Influenced by that of India.
ANOVA
df
Regression
Residual
Total
SS
MS
0.10
0.40
Significanc
eF
0.62
1
0.10
0.25
62
25.40
63
25.51
Analysis: Signifacance F indicates the probability that the Regression output could have
been obtained by chance. A small Significance of F confirms the validity of the Regression
output. For example, if Significance of F = 0.030, there is only a 3% chance that the
Regression output was merely a chance occurrence. As here the no is 0.62,it seems that
mainly the correlation is largely by chance.
16
14
12
10
8
6
4
2
0
Chart Showing 10 year G-Sec yield of India and that of China during
pre-Financial crisis period
SUMMARY
OUTPUT
Regression Statistics
Multiple R
0.76
R Square
0.57
Adjusted R
Square
0.57
Standard Error
0.26
Observations
74
ANOVA
df
SS
MS
Significa
nce F
5.57364E15
Regression
1
6.44
6.44
97.02
Residual
72
4.78
0.07
Total
73
11.22
Analysis: Here the significance of F is pretty low, so there is negligible
probability that the correlation between these two data are due to merely by
chance.
Chart Title
Yield
16
14
12
10
8
6
4
2
0
Chart Showing 10 year G-Sec yield of India and that of China during
Post-Financial crisis period
2) India vs Russia
Pre-Financial crisis
Same Strategy has been used to establish a relationship between debt market of two countries.
SUMMARY OUTPUT
Regression Statistics
Multiple R
R Square
Adjusted R Square
Standard Error
Observations
0.83
0.68
0.68
0.86
65.00
ANOVA
df
Regression
Residual
Total
1
63
64
SS
99.83
46.18
146.01
MS
99.83
0.73
F
136.20
Significance
F
2.14534E-17
Analysis: Significance of F indicates here that there is very less amount of probability that
the Regression output was merely a chance occurrence.
20
18
16
14
12
10
8
6
4
2
0
Chart Showing 10 year G-Sec yield of India and that of Russia during PreFinancial crisis period
SUMMARY
OUTPUT
Regression Statistics
Multiple R
0.49
R Square
0.24
Adjusted R
Square
0.22
Standard Error
1.30
Observations
73
25
20
15
10
5
Chart Showing 10 year G-Sec yield of India and that of Russia during
Post-Financial crisis period