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Kurtosis definition

Statistical terms sound more scary than they need to and kurtosis is a perfect example. Just remember fourth power and three is normal.


Kurtosis is a measure of the weight in the tails of a distribution, often described as how peaked a distribution appears. A normal distribution has a kurtosis of 3, so many times kurtosis is reported as excess kurtosis, or the difference from 3. It is often called the fourth moment because it is generated from calculations to the fourth power.

Synonym: excess kurtosis

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The kurtosis for stock returns tends to be less than 3. | True or False

False. Stock returns tend to have fatter tails and higher kurtosis

In a Sentence

Guy:  The kurtosis  for the distribution is 1.15, and I think it's fair to assume that that's excess.
Bud:  It's also fair to assume this whole discussion about kurtosis, to me, is excess.


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stock returns
normal distribution
statistical measure
fourth moment
excess kurtosis
fourth power
risk measure
fat tails