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kurtosis |
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kurtosis [kər′tō·səs] (statistics) The extent to which a frequency distribution is concentrated about the mean or peaked; it is sometimes defined as the ratio of the fourth moment of the distribution to the square of the second moment. How to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit webmaster's page for free fun content. |
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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. |
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