The kurtosis coefficients verify the existence of higher leptokurtic
distribution property in all the variables.
Value of Kurtosis is more >3 under specific set of variables except money supply so money supply is platykurtic and remaining variables are shown leptokurtic
or fat tailed behavior.
The changes in the structure of market participation, evidenced by the unrest of the asymmetry, suggest the existence of strong upward or downward pressure; while the leptokurtic
manifestation, evidenced by the gradual increase of kurtosis, suggests that each market is classified into a group of hedging noise traders (Los & Yu, 2008).
The series also exhibited negative skewness only for the case of China, and all the series were found to be leptokurtic
(1996), Engle and Patton (2001), Hansen and Lunde (2005)) provides much empirical regularity associated with the volatility of returns on financial assets such as leptokurtic
distributions, volatility clustering, leverage effects, persistence and asymmetric volatility, among others.
On the other hand, the skewness values showed in the table indicate that the distribution of the index returns are not symmetrical, since they present excess of kurtosis and fatter tails, being characterized as leptokurtic
The returns data are non-normal, and, except for the Auto index, Metal index and, to some extent, the Telecom index, return distributions are quite significantly leptokurtic
. Also, virtually all return series are negatively skewed to some degree.
If you want to impress your friends, the technical term is "leptokurtic
Exceeding kurtosis for all variables is near zero, with the exception of returns (leptokurtic
) and Bearish Intensity (plactokurtic).
The values of the kurtosis are greater than 3 which mean distributions of the returns are leptokurtic
indicating higher peaks than expected from normal distribution.
On the part of Kurtosis, all the variables used present positive values which means that the distribution is leptokurtic
With respect to kurtosis, most items had values indicating a mesokurtic distribution, with the exception of item 11 (-1.28), with a flatter distribution (platykurtic), and items 12 (2.60) and 16 (1.65), whose values suggest a leptokurtic