Skewness And Kurtosis Interpretation. The frequency of occurrence of large returns in a particular direction is measured by skewness. Why do we care.
Kurtosis tells you the height and sharpness of the central peak relative to that of a standard bell curve. Here x is the sample mean. Kurtosis is defined as follows.
Skewness tells you the amount and direction of skew departure from horizontal symmetry and kurtosis tells you how tall and sharp the central peak is relative to a standard bell curve.
Kurtosis is defined as follows. While skewness focuses on the overall shape kurtosis focuses on the tail shape. If the coefficient of kurtosis is larger than 3 then it means that the return distribution is inconsistent with the assumption of normality in other words large magnitude returns occur more frequently than a normal distribution. Here x is the sample mean.
