Financial Risk Manager Part 1

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Explanation:

Explanation

The Jarque-Bera (JB) test is used to test whether a dataset follows a normal distribution. The test statistic follows a chi-squared distribution with 2 degrees of freedom.

Given:

Critical value at 95% confidence level = 5.99
If JB statistic > 5.99, we reject the null hypothesis (that the data is normally distributed)

Analysis of each dataset:

Dataset A: JB = 5.90 < 5.99 → Cannot reject null hypothesis (likely normal)
Dataset B: JB = 6.02 > 5.99 → Reject null hypothesis (not normal)
Dataset C: JB = 3.16 < 5.99 → Cannot reject null hypothesis (likely normal)
Dataset D: JB = 6.35 > 5.99 → Reject null hypothesis (not normal)

Conclusion: Datasets B and D have JB statistics exceeding the critical value of 5.99, indicating they are likely not drawn from a normal distribution.

Explanation:

Explanation

The Jarque-Bera (JB) test is used to test whether a dataset follows a normal distribution. The test statistic follows a chi-squared distribution with 2 degrees of freedom.

Given:

Critical value at 95% confidence level = 5.99
If JB statistic > 5.99, we reject the null hypothesis (that the data is normally distributed)

Analysis of each dataset:

Dataset A: JB = 5.90 < 5.99 → Cannot reject null hypothesis (likely normal)
Dataset B: JB = 6.02 > 5.99 → Reject null hypothesis (not normal)
Dataset C: JB = 3.16 < 5.99 → Cannot reject null hypothesis (likely normal)
Dataset D: JB = 6.35 > 5.99 → Reject null hypothesis (not normal)

Conclusion: Datasets B and D have JB statistics exceeding the critical value of 5.99, indicating they are likely not drawn from a normal distribution.

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Q-85. The following data is collected for four distributions:

Dataset Skew Kurtosis T JB
A 0.85 3.00 50 5.90
B 0.85 3.00 51 6.02
C 0.35 3.35 125 3.16
D 0.35 3.35 250 6.35

Which of these datasets are likely (at the 95% confidence level, the chi-squared critical value is 5.99) to not be drawn from a normal distribution?

Dataset	Skew	Kurtosis	T	JB
A	0.85	3.00	50	5.90
B	0.85	3.00	51	6.02
C	0.35	3.35	125	3.16
D	0.35	3.35	250	6.35

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Dataset A and C

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Financial Risk Manager Part 1

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Explanation

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Q-85. The following data is collected for four distributions: DatasetSkewKurtosisTJBA0.853.00505.90B0.853.00516.02C0.353.351253.16D0.353.352506.35 Which of these datasets are likely (at the 95% confidence level, the chi-squared critical value is 5.99) to not be drawn from a normal distribution?

Q-85. The following data is collected for four distributions:

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