European Journal of Service Management
Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Service Management
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
DOI: 10.18276/ejsm.2018.27/2-03
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| ISSN: | 2450-8535 |
| eISSN: | 2451-2729 |
| Authors: |
Kamila
Bednarz-Okrzyńska
University of Szczecin, Faculty of Management and Economics of Services |
| Keywords: | kurtosis chi-squared test Gaussian distribution Laplace distribution |
| Issue / book publication date: | 2018-12-31 |
| Page range: | 10 (27-36) |
| OAI-PMH: | Metadata |
| Klasyfikacja JEL: | C12 C13 D53 G11 |
| Cited-by (Crossref) ?: | Enable JavaScript to retrieve citation data. |
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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.
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Bibliography
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