The reason why the approach is based on the basic GARCH(p,q) model is that it is the simplest model able to capture the volatility of clusters and leptokurtosis
in the data.
in the unconditional distribution of output growth vanishes after adjustment for (G)ARCH with conditional normality.
Knowing the full distribution of data also makes clear what stylized facts need to be explained in theory; if the data were skewed heavily to the right and suffered from leptokurtosis
, a theory explaining that data should be able to replicate these properties.
The data also failed to support this model: the degree of leptokurtosis
was much too high, so that the curves were far from the normal distribution.
Moreover, the time series present a slight leftward skewness and leptokurtosis
The KSE 100 index excess stock returns demonstrate significant leptokurtosis
El calculo de la leptokurtosis
ayuda a corroborar la percepcion.
La distribucion empirica muestra un grado de leptokurtosis
mayor al presente en la distribucion normal.
In both cases, the series show leptokurtosis
, being the kurtosis greater for index price (k= 8.
to the habitat as a factor enhancing leptokurtosis
and culminating with
Since then, numerous studies have demonstrated that market returns are not normal, but instead exhibit leptokurtosis
(try this term at a cocktail party
Among the scenarios for population mode number, skewness, and kurtotosis, the FRI was least affected by differences between the kurtosis population distributions, with the FRI range for near absolute leptokurtosis
(peaked deviation from normal) and platykurtosis (flattened deviation from normal) ([[gamma].