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

macd levelsetf vixhow do i trade the vixetf xivbull put spread vs bull call spreadblack scholes thetaskewness and kurtosis in statisticspro shares ultrabarclays ipathcalculate delta of call optionskewness calculationwhat are the components of waccoption trading booksoption strategies straddleexcel emasharpe ratio portfolioannualizenotional value of optionstock momentum formulacitibank reverse splithow to convert standard deviation to percentagevix index explainedreal time vixcoloured notepadfinding the median calculatorbasic black scholesthinkback thinkorswimbullish optionsfutures expirystandard error of the mean formula excelskewness factorcall spread payoffcboe trading hourswhats arithmeticrecent 13f filingscalculate median on exceldelta of put option formulafloat adjusted market capipath etnwacc meaningwhat is the median function in excelyahoo finance symbolsbullish versus bearishbull put spread strategyimplied volatility excellist of leveraged etfswhat does volatile mean in stocksshort etf s&phow to calculate weighted average in excel with percentagesformula for calculating variance in exceladvantages and disadvantages of median in statisticswhat is gamma in financeitm callinverse etnassumptions of black scholesweighted average formula accountingcreate formulas in excelformula for profit and loss in excelsharpe calculationvar value at risk formulaexcel formula for squarestock variance calculatormeasures of skewnesscalculator for negative and positive numbersgamma call optionat the money straddleuvxy prosharescost of common equity capital calculatorhedging calculatorforex volatility calculatorcalculating historical volatilitystandard deviation from mean calculatorcumulative probability excelgreeks vegajpmorganstockhow the vix is calculatedwhat is hedge fund with example