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Answer: The Jarque-Bera test only examines the skewness and kurtosis of a distribution.
B is correct. The Jarque-Bera (JB) test statistic is used to formally test whether the sample skewness and kurtosis are compatible with an assumption that the returns are normally distributed. A is incorrect. The JB test statistic follows a Chi-squared distribution. C is incorrect. There is no involvement of the Gaussian copula in the JB formulation. D is incorrect. In doing the JB test, the sample size is incorporated in the formula.
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A financial analyst is evaluating a set of weekly returns for a commodities index. The analyst chooses to use the Jarque-Bera test to determine whether the returns of the commodities index conform to a normal distribution. Which of the following statements will the analyst find to be true regarding the Jarque-Bera test?
A
The Jarque-Bera test statistic follows a binomial distribution.
B
The Jarque-Bera test only examines the skewness and kurtosis of a distribution.
C
The Jarque-Bera test requires that a Gaussian copula be applied to the return data before conducting the test.
D
The Jarque-Bera test statistic does not depend on the sample size of the return dataset.