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   Kurtosis
   















 

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Kurtosis

A measure of the extent to which observed data fall near the center of a distribution or in the tails. A kurtosis value less than that of a standard, normal distribution indicates a distribution with a fat midrange on either side of the mean and a low peak-a platykurtotic distribution. A kurtosis value greater than that of a normal distribution indicates a high peak, a thin midrange, and fat tails. The latter, a leptokurtotic distribution, is common in observed price, rate, and return time series data. See also Jump Process, Leptokurtosis, Risk.

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