Skewness and Kurtosis data

panzerman · Aug 31, 2008

Quote from hlpsg:

Does anyone know of a serivce or website where I could get an updated value of the skewness and kurtosis of a particular stock's distribution?

Thanks.
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Import the data into Excel, and use its descriptive statistics functionality to get the skew and kurtosis. I've never looked into it, but perhaps the free OpenOffice product can do the same thing.

I can tell you that all distributions from financial times series have some degree of skew and kurtosis. What do you plan to do with that information? There have been Nobel Prize winners in economics who haven't been able to figure out how to model skew and kurtosis.

More power to you if you can do anything useful to make money with that data.

hlpsg · Aug 31, 2008

Quote from MasterAtWork:

Hi hlpsg,

For broad purpose skewness of datas can be mesured by the third moment about the mean.

So if you got your serie (whatever you want, daily return, daily volatility...),

1-you compute the mean :sum of datas divided by number of datas.

2-you compute the standard deviation : you compute each difference between each data and mean, you compute then the square of each difference, you sum all the squared differences together , you compute the square root of the outcome, you divide the final amount by the number of datas

3-you compute the third moment: you compute each difference between each data and mean (you have already done above), you raise each difference to the third power, you sum all together, you divide the outcome by the number of datas.

Now to get the skewness, you divide the amount above by the standard deviation raised to the third power.

If the distribution is symmetric, the skewness will be zero.

4-you compute the fourth moment: you compute each difference between each data and mean (you have already done above), you raise each difference to the fourth power, you sum all together, you divide the outcome by the number of datas.

Now to get the kurtosis, you divide the amount above by the standard deviation raised to the fourth power.

The kurtosis describes the peakness of the distribution.
This kurtosis is called Pearson kurtosis.
Sometimes, we compute Fisher kurtosis that is Pearson's less 3 (3 is the kurtosis of the normal distribution).

Regards,
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MAW, thank you very much for the clear instructions.

MasterAtWork · Sep 1, 2008

Quote from MasterAtWork:

2-you compute the standard deviation : you compute each difference between each data and mean, you compute then the square of each difference, you sum all the squared differences together , you divide the final amount by the number of datas, THEN you compute the square root of the outcome
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I was drunk as usual, sorry

Regards

c.chugani · Sep 1, 2008

Quote from hlpsg:

MAW, will something like this do? I've also included a column of close-to-close as a capture of daily volatility.

Let me know, thanks.
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which underlying is this btw?

hlpsg · Sep 1, 2008

Quote from c.chugani:

which underlying is this btw?
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RUT

MasterAtWork · Sep 2, 2008

Quote from Whimsy:

I think you've oversimplified and might get some in trouble if they follow blindly.
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Quoted from which Monthy Python movie?
The link between the two posts is just wonderful.

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Skewness and Kurtosis data

panzerman

hlpsg

MasterAtWork

c.chugani

hlpsg

MasterAtWork