Jarque-Bera Test (JB)

Category: volatility

A statistical test that determines whether sample data has the skewness and kurtosis matching a normal distribution. Higher values indicate significant deviation from normality.

Formula

JB = \frac{n}{6} \left( S^2 + \frac{(K-3)^2}{4} \right) \text{ where } S = \frac{m_3}{m_2^{1.5}}, K = \frac{m_4}{m_2^2} \text{ and } m_k = \frac{1}{n}\sum(x_i - \bar{x})^k

Inputs

• i_source (default: close)
• i_length (default: 20)

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