Therefore, the three-factor solution was that which produced a normal distribution of residuals, having a lower bias and whose distribution was approximately mesokurtic
If it is zero or near zero it is mesokurtic
(possibly normal) and if the kurtosis index is positive, the distribution is leptokurtic.
Positive excess kurtosis means that distribution has fatter tails than a normal distribution and indicates a leptokurtic distribution, whereas the distribution is, respectively, platykurtic for negative excess kurtosis and mesokurtic
when kurtosis is equal to 3.
While the distribution of trading volume is mesokurtic
, it is leptokurtic in case of all other variables.
Thus, the longer the block of days measured for market returns, the closer the empirical distributions of the countries under study approximated a symmetrical and mesokurtic
Distributions with zero kurtosis are called mesokurtic
; for example, the normal distribution is mesokurtic
for all values of the scale [sigma].
In this sense, the normal distribution is symmetric and mesokurtic
. The Bera-Jarque test is given by the following equation: