Posts Tagged ‘ kurtosis ’

garch and long tails

August 27, 2012
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garch and long tails

How much does garch shorten long tails? Previously Pertinent blog posts include: “A practical introduction to garch modeling” “The distribution of financial returns made simple” “Predictability of kurtosis and skewness in S&P constituents” Induced tails Part of the reason that the distributions of returns have long tails is because of volatility clustering.  It’s not really … Continue reading...

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Cross-sectional skewness and kurtosis: stocks and portfolios

April 30, 2012
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Cross-sectional skewness and kurtosis: stocks and portfolios

Not quite expected behavior of skewness and kurtosis. The question In each time period the returns of a universe of stocks will have some distribution — distributions as displayed in “Replacing market indices” and Figure 1. Figure 1: A cross-sectional distribution of simple returns of stocks. In particular they will have values for skewness and … Continue reading...

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A slice of S&P 500 kurtosis history

February 13, 2012
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A slice of S&P 500 kurtosis history

How fat tailed are returns, and how does it change over time? Previously The sister post of this one is “A slice of S&P 500 skewness history”. Orientation The word “kurtosis” is a bit weird.  The original idea was of peakedness — how peaked is the distribution at the center.  That’s what we can see, … Continue reading...

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Predictability of kurtosis and skewness in S&P constituents

October 3, 2011
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Predictability of kurtosis and skewness in S&P constituents

How much predictability is there for these higher moments? Data The data consist of daily returns from the start of 2007 through mid 2011 for almost all of the S&P 500 constituents. Estimates were made over each half year of data.  Hence there are 8 pairs of estimates where one estimate immediately follows the other. … Continue reading...

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Example 8.42: skewness and kurtosis and more moments (oh my!)

June 27, 2011
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Example 8.42: skewness and kurtosis and more moments (oh my!)

While skewness and kurtosis are not as often calculated and reported as mean and standard deviation, they can be useful at times. Skewness is the 3rd moment around the mean, and characterizes whether the distribution is symmetric (skewness=0). Kurtos...

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