Influence of the kurtosis value on the result of goodness of fit test for the daily rate of return on selected WIG20 and WIG30 companies
Influence of the kurtosis value on the result of goodness of fit test for the daily rate of return on selected WIG20 and WIG30 companies
Author(s): Kamila Bednarz-OkrzyńskaSubject(s): Economy, Business Economy / Management
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: kurtosis; chi-squared test; Gaussian distribution; Laplace distribution
Summary/Abstract: In the paper, the modeling of empirical distributions of return rates on WIG20 and WIG30 companies was conducted. The validity of the hypothesis was tested, which stated that the fitting of theoretical distributions to empirical distributions of return rates – where the fitting was tested by the chi-squared test – depends on the value of kurtosis. In order to prove the validity of the hypothesis, studies on four sets of diversified data were conducted.
Journal: European Journal of Service Management
- Issue Year: 27/2018
- Issue No: 3/2
- Page Range: 27-36
- Page Count: 10
- Language: English
