For the explanatory variables, Panels A and B show that the skewness and kurtosis values of advertising, R&D and control variables are skewed and have excess kurtosis
The excess kurtosis
is kurtosis -3, a way of stating kurtosis relative to the normal distribution, which has a kurtosis of 3.
This model attributes the skewness and excess kurtosis
to the jump risk, where jumps occur with a mean annual frequency of 1.
The coefficients of skewness and excess kurtosis
prove insignificant at the 5% level.
10) Excess kurtosis
means that, compared with the normal distribution, there is excess probability mass in the center of the distribution.
It would exhibit skewness if large, infrequent shocks are typically negative, and excess kurtosis
if such shocks are equally likely to be positive or negative.
Because this interval does not require removal of excess kurtosis
or assessment of data normality by the Anderson-Darling test, there are fewer cases, compared with the traditional approach, where its computation is not possible.
The major drawback of this approach arises from the fact that returns for individual or set of assets exhibit skewness and significant excess kurtosis
(fat-tails and peakness).
The first generator produces normally distributed random numbers, and the second generates Student's t-distributed random numbers with excess kurtosis
Timmerman argues that his model can explain several stock price (ir)regularities, including skewness, excess kurtosis
, volatility clustering, and serial correlation in stock returns.
In sum, the BVMT and TUNINDEX weekly and daily returns tend to be characterized by positive skewness, excess kurtosis
and departure from normality.
The tests for normality indicate negative skewness, excess kurtosis
and autocorrelation in rate changes.