Fourth moment: Kurtosis
Finally, to calculate the fourth moment of a distribution, you can use the kurtosis() function from scipy.stats.
Note that this function actually returns the excess kurtosis, not the 4th moment itself. In order to calculate kurtosis, simply add 3 to the excess kurtosis returned by kurtosis().
clean_returns from the previous exercise is available in your workspace.
Latihan ini adalah bagian dari kursus
Introduction to Portfolio Risk Management in Python
Petunjuk latihan
- Import
kurtosisfromscipy.stats. - Use
clean_returnsto calculate theexcess_kurtosis. - Derive the
fourth_momentfromexcess_kurtosis.
Latihan interaktif praktis
Cobalah latihan ini dengan menyelesaikan kode contoh berikut.
# Import kurtosis from scipy.stats
from ____ import ____
# Calculate the excess kurtosis of the returns distribution
excess_kurtosis = ____
print(excess_kurtosis)
# Derive the true fourth moment of the returns distribution
fourth_moment = ____
print(fourth_moment)