A financial analyst is evaluating the annual returns of an investment asset and decides to use the Jarque-Bera test to determine if the returns follow a normal distribution. Select the correct statement regarding the Jarque-Bera test from the options given.

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The Jarque-Bera test statistic follows a Student's t distribution.

13.3%

The Jarque-Bera test only takes into account the skewness and kurtosis of a distribution.

59.3%

The Jarque-Bera test requires that a Gaussian copula be applied to the returns data before conducting the test.

13.3%

The Jarque-Bera test statistic does not depend on the sample size of the returns dataset.

14.1%

Financial Risk Manager Part 1