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Normality Skewness Kurtosis
Normality Skewness Kurtosis
Normality Skewness Kurtosis
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logrt
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Index
mean(logrt)
## [1] 0.006208082
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var(logrt) #(sd(rt))^2
## [1] 0.005258775
sd(logrt) #sqrt(var(rt))
## [1] 0.07251741
basicStats(logrt) #Compute all summary or descriptive statistics
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logrt
nobs
502.000000
NAs
0.000000
Minimum
-0.303683
Maximum
0.302915
1. Quartile -0.037641
3. Quartile
0.048443
Mean
0.006208
Median
0.005260
Sum
3.116457
SE Mean
0.003237
LCL Mean
-0.000151
UCL Mean
0.012567
Variance
0.005259
Stdev
0.072517
Skewness
-0.135343
Kurtosis
1.693092
Normality test
normalTest(logrt,method='jb')
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## Title:
## Jarque - Bera Normalality Test
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## Test Results:
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STATISTIC:
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X-squared: 62.8363
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P VALUE:
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Asymptotic p Value: 2.265e-14
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## Description:
## Tue Aug 25 21:57:51 2015 by user:
#The result shows the normality for log-return is rejected
library(tseries)
jarque.bera.test(logrt)
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## Jarque Bera Test
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## data: logrt
## X-squared = 62.836, df = 2, p-value = 2.265e-14
qqnorm(logrt);qqline(logrt,col=2)
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Sample Quantiles
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Normal QQ Plot
Theoretical Quantiles
Skewness
Statistically, two numerical measures of shape, skewness and excess kurtosis, can
be used to test for normality. If either of these values is not close to zero, then
your data set is not normally distributed.
skewness(logrt)
## [1] -0.1353432
## attr(,"method")
## [1] "moment"
(1) If skewness is less than -1 or greater than 1, the distribution is highly skewed.
(2) If skewness is between -1 and -0.5 or between 0.5 and 1, the distribution is
moderately skewed.
(3) If skewness is between -0.5 and 0.5, the distribution is approximately symmetric.
Kurtosis
In statistics, kurtosis is a measure of the peakedness of the probability distribution of a random variable. Kurtosis tells the height and sharpness of the central
peak, relative to that of a standard bell curve.
kurtosis(logrt)
## [1] 1.693092
## attr(,"method")
## [1] "excess"
(1) A normal distribution has kurtosis exactly 3 (excess kurtosis exactly 0). Any
distribution with kurtosis = 3 (excess = 0) is called mesokurtic.
(2) A distribution with kurtosis <3 (excess kurtosis <0) is called platykurtic.
Compared to a normal distribution, its central peak is lower and broader, and
its tails are shorter and thinner.
(3) A distribution with kurtosis >3 (excess kurtosis >0) is called leptokurtic.
Compared to a normal distribution, its central peak is higher and sharper, and
its tails are longer and fatter.
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Frequency
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Histogram of logrt
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logrt
Reference:
Tsay, Ruey S. Analysis of financial time series. Vol. 543. John
Wiley & Sons, 2005.