Excess Kurtosis

You can easily calculate excess kurtosis in Excel using the Descriptive Statistics Calculator.

Excess Kurtosis Definition

Excess kurtosis is kurtosis relative to normal distribution. Kurtosis of normal distribution equals 3. Therefore excess kurtosis equals kurtosis less 3.

Excess Kurtosis Interpretation

Excess kurtosis can reach values from -2 to positive infinite.

Positive excess kurtosis means that the distribution is more peaked (observations close to the mean are more frequent) and has fatter tails (extreme values are more frequent) than normal distribution. Such distribution is calles leptokurtic or leptokurtotic.

Leptokurtic distribution (positive excess kurtosis). The grey line is normal distribution (zero excess kurtosis)

Excess kurtosis of normal distribution is zero. Generally, a distribution that has the same kurtosis as normal distribution (excess kurtosis of zero) is called mesokurtic or mesokurtotic.

Negative excess kurtosis means that the distribution is less peaked and has less frequent extreme values (less fat tails) than normal distribution. Such distribution is called platykurtic or platykurtotic.

Excess Kurtosis Calculation

There is a little difference in calculation of population and sample excess kurtosis. You can see a detailed explanation of the formulas here: Kurtosis Formula.

Population Excess Kurtosis Formula

Excess kurtosis formula

Sample Excess Kurtosis Formula

Sample excess kurtosis formula

Calculating Excess Kurtosis in Excel

In Excel, you can calculate sample excess kurtosis using the KURT function. Population excess kurtosis can be calculated by adjusting the result of KURT (see details how to do it here).

You can easily calculate kurtosis, skewness, standard deviation and other measures using the Descriptive Statistics Excel Calculator.


Related pages


stock excel spreadsheetoption profit calculatorcboe vix calculationgarman kohlhagen modelblack scholes pricerhow to calculate portfolio weightarithmetic means calculatortop options trading booksstraddle calculatornotepad fontscalculator with negative signsgeometric rate of return calculatorcalculating median in excelaapl stock historyhow to compute the sample variancestandard deviation of monthly returnsreverse straddlekurtosis formula in statisticscalculating standard deviation calculatorexcel formula standard deviationscholes equations&p 2x etfexcel stdev sstandard deviation of stock calculatorcboe vix quotetrial and error excelblack scholes dividendskewness valuesformula for calculating skewnesscalculating variance excelwww.proshares.comcalculate option deltadescriptive statistics in excel 2007standard deviation in finance formulaubs e-tracshedge fund stylesimplied vol calculatorwhat is macd histogramstandard deviation calculator percentilecumulative formula excelsample variance formula in exceldefine vixexcel variance calculationvix optionsall etf listblack scholes normal distribution tablecalculate exponential moving averageadaptive moving average formulabackwardation explainedcalculate variance on excelcalculating mean excelmoving average chart excelformulae of profit and lossmarket capitalization weighted indexblack scholes pricerstock standard deviation calculatorcalculate volatility excelkurtosiipath etnvix option strategiesvix historicalvxx quotemeasures of variation calculatorcomputation formula for standard deviationinterpreting variance and standard deviationhow to calculate rsihow to calculate average annual return in excelultra vix etfarithmetic average return calculatordefinition of option contractbear put spread exampleatr average true rangeacceptable skewness and kurtosis valuesvolatility excelvix quotescboe volatility index vixpayoff short put