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.
References in periodicals archive ?
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.
Second, leptokurtosis 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].