Excess Kurtosis

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Dictionary Says

Definition of 'Excess Kurtosis'

A statistical term describing that a probability, or return distribution, has a kurtosis coefficient that is larger then the coefficient associated with a normal distribution, which is around 3. This will signal that the probability of obtaining an extreme value in the future is higher than a lower level of kurtosis.

Kurtosis is a measure of the likelihood that an event occurring is extreme in relation to a given distribution.
Investopedia Says

Investopedia explains 'Excess Kurtosis'

Excess kurtosis is an important consideration to take when examining historical returns from a stock or portfolio, for example. The higher the kurtosis coefficient is above the "normal level", the more likely that future returns will be either extremely large or extremely small.

Kurtosis is often referred to the "volatility of volatility".
Search results for

'Excess Kurtosis'

  • CFA Level 1 Study Guide - Quantitative Methods - Skew And Kurtosis ...

    http://www.investopedia.com/exam-guide/cfa-level-1/quantitative-methods/statistical-skew-kurtosis.asp
    ... Market Returns; 2.10 Basic Statistical Calculations; 2.11 Standard Deviation
    And Variance; 2.12 Skew And Kurtosis; 2.13 Basic Probability ...

  • Trading With Gaussian Models Of Statistics

    http://www.investopedia.com/articles/financial-theory/10/gaussian-models-statistics.asp
    ... A negative excess kurtosis, referred to as platykurtosis is characterized as a fairly
    flat distribution where there is a smaller concentration of values around ...

  • Understanding The Sharpe Ratio

    http://www.investopedia.com/articles/07/sharpe_ratio.asp
    ... The ratio describes how much excess return you are receiving for the extra ... Abnormalities
    like kurtosis, fatter tails and higher peaks, or skewness on the ...

  • CFA Level 1 Study Guide - Quantitative Methods - Common ...

    http://www.investopedia.com/exam-guide/cfa-level-1/quantitative-methods/probability-distribution-properties.asp
    ... Market Returns; 2.10 Basic Statistical Calculations; 2.11 Standard Deviation
    And Variance; 2.12 Skew And Kurtosis; 2.13 Basic Probability ...

  • CFA Level 1 Study Guide - Quantitative Methods - Standard ...

    http://www.investopedia.com/exam-guide/cfa-level-1/quantitative-methods/standard-deviation-and-variance.asp
    ... Market Returns; 2.10 Basic Statistical Calculations; 2.11 Standard Deviation
    And Variance; 2.12 Skew And Kurtosis; 2.13 Basic Probability ...

  • CFA Level 1 Study Guide - Microeconomics - Price Ceilings and ...

    http://www.investopedia.com/exam-guide/cfa-level-1/microeconomics/price-ceilings-floors.asp
    ... Market Returns; 2.10 Basic Statistical Calculations; 2.11 Standard Deviation
    And Variance; 2.12 Skew And Kurtosis; 2.13 Basic Probability ...

  • CFA Level 1 Study Guide - Liabilities - Reporting The Retirement ...

    http://www.investopedia.com/exam-guide/cfa-level-1/liabilities/bond-retirement-conversion-reporting.asp
    ... Market Returns; 2.10 Basic Statistical Calculations; 2.11 Standard Deviation
    And Variance; 2.12 Skew And Kurtosis; 2.13 Basic Probability ...

  • The Uses And Limits Of Volatility

    http://www.investopedia.com/articles/04/021804.asp
    ... For example, the Sharpe ratio measures excess return per unit of risk, where risk
    is ... to find tall peaks and fat tails; the technical term for this is kurtosis ...

  • CFA Level 1 Study Guide - Macroeconomics - Short and Long-run ...

    http://www.investopedia.com/exam-guide/cfa-level-1/macroeconomics/short-long-macroeconomic-equilibrium.asp
    ... Market Returns; 2.10 Basic Statistical Calculations; 2.11 Standard Deviation
    And Variance; 2.12 Skew And Kurtosis; 2.13 Basic Probability ...

  • CFA Level 1 Study Guide - Portfolio Management - The Risk Premium ...

    http://www.investopedia.com/exam-guide/cfa-level-1/portfolio-management/risk-premium.asp
    ... Market Returns; 2.10 Basic Statistical Calculations; 2.11 Standard Deviation
    And Variance; 2.12 Skew And Kurtosis; 2.13 Basic Probability ...

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