ABSTRACT
Kurtosis is the fourth centralized moment of a probability density function. It is meant to capture the fl atness of a distribution. Hence, a small kurtosis implies a distribution that is concentrated around a small range of values of the underlying random variable, while a large kurtosis corresponds to a distribution that is very fl at and spread out. Since the normal distribution has a kurtosis of 3, some analysts prefer to use excess kurtosis, which is defi ned as kurtosis minus 3 and measures the kurtosis of a particular distribution in excess of that for the normal distribution (Kendall et al., 1998).
