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Leptokurtosis

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Leptokurtosis
The condition of a probability density curve to have fatter tails and a higher peak at the mean than the normal distribution.
Leptokurtosis
A state in which the volatility of a security is itself not volatile. That is, lepkurtosis is a state in which the volatility of a security changes at a relatively low rate. This is shown on a chart by a distribution line with data points resembling fat tails and a higher mean, with an even distribution. See also: Kurtosis, Platykurtosis.
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The author cautions about the use of applying VaR to measure a portfolio or an enterprise as it has limitations due to its heuristic nature, and is subject to attendant assumptions and complications as represented by skewness, leptokurtosis and outliers (especially), and conditional volatility and conditional correlation.
From the special issue editor by Lu, Victor F. / Review of Business
Leptokurtosis / Fat Tails Distribution Mandelbrot (1963), Fama (1965), Clark (1973), Blattberg and Goredes (1974) documented that the unconditional distribution of financial returns exhibits fat tails and excess peckedness at the mean.
Econometric modeling of time-varying conditional hetroscedasticity ... by Pati, Pratap Chandra / Indian Journal of Economics and Business
The sample kurtosis in Table 2 for the standardized residuals indicates that (G)ARCH accounts for some, but not all, of the leptokurtosis for the output growth rate.
The Great Moderation and the relationship between output growth and ... by Fang, Wen-Shwo; Miller, Stephen M. / Southern Economic Journal
 
 
 
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