Fat tails - Identification of fat tails - Analyzing fat tails
4 important questions on Fat tails - Identification of fat tails - Analyzing fat tails
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Whats the relevance of the student-t distribution in analyzing fat tails?
The student-t distribution has fat tails and its degrees of freedom indicate how fat the tails are.
How would we use the Student's t-distribution to determine the degree of fat in the tails?
v = ∞, implies the normal
v = < 2 implies fat tails
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Whats the degrees of freedom (the fatness of the tails) for a typical stock?
3<v<5
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