989,654,856 visitors served.
989,654,856 visitors served. |
|
 Dictionary/ thesaurus |  Medical dictionary |  Legal dictionary |  Financial dictionary |  Acronyms |  Idioms |  Encyclopedia |  Wikipedia encyclopedia | ? |
Excess kurtosis |
Also found in: Medical, Wikipedia | 0.03 sec. |
|
Excess kurtosis Kurtosis measures the "fatness" of the tails of a distribution. Positive excess kurtosis means that distribution has fatter tails than a normal distribution. Fat tails means there is a higher than normal probability of big positive and negative returns realizations. When calculating kurtosis, a result of +3.00 indicates the absence of kurtosis (distribution is mesokurtic). For simplicity in its interpretation, some statisticians adjust this result to zero (i.e. kurtosis minus 3 equals zero), and then any reading other than zero is referred to as excess kurtosis. Negative numbers indicate a platykurtic distribution; positive numbers indicate a leptokurtic distribution. |
|
? Mentioned in | ? References in periodicals archive | |
|---|---|---|
As Table 3 shows, the SP500 distribution exhibits excess kurtosis, which is a common characteristic of stock return distributions. In all cases the Jarque-Bera test for normality are highly significant with excess kurtosis and negatively skewed. The high value of excess kurtosis reported in table 3 implies that the market is likely to be affected by big surprises, conditional on the information available at any point in time. |
 |
| Free Tools: |
For surfers:
Browser extension |
Word of the Day |
Help
For webmasters: Free content NEW! | Linking | Lookup box | Double-click lookup | Partner with us |
|
|---|
Disclaimer |
Privacy policy |
Feedback | Copyright © 2008 Farlex, Inc.
Printer friendly
Cite / link
Email
Feedback
Add definition
Excess kurtosis
