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Extreme Events – Specimen Question A.2.2(c) – Answer/Hints

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Q. Prepare a standardised quantile-quantile plot for this underlying return series. Does it appear to exhibit fat-tailed behaviour?

 

Again, the simplest approach is to use the Nematrian charting facility e.g. MnPlotStandardisedQQ, applied to, say, the series in the final column in the last table of A.2.2(b). The resulting chart does not appear to exhibit material fat-tailed behaviour.

 

The skew and (excess) kurtosis of the eventual data series are -0.322 and -0.089 which are both close to zero (given the small sample size in question), so they too are not indicative of non-normality.

 


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