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

## Explanation The correct answer is **D** because the Jarque-Bera test is specifically designed to test for normality by examining whether the skewness and kurtosis of a distribution match those of a normal distribution. ### Detailed Analysis: **A. Incorrect** - The Jarque-Bera test statistic **does** depend on sample size. The formula is: \[ JB = \frac{n}{6} \left( S^2 + \frac{(K-3)^2}{4} \right) \] where n is the sample size, S is skewness, and K is kurtosis. **B. Incorrect** - The Jarque-Bera test statistic follows a **chi-square distribution with 2 degrees of freedom**, not a Student's t distribution. **C. Incorrect** - The Jarque-Bera test does not require applying a Gaussian copula. It tests raw data for normality directly. **D. Correct** - The Jarque-Bera test specifically tests whether the skewness is zero and the kurtosis is 3 (as in a normal distribution). It combines these two measures into a single test statistic. ### Key Points: - **Null Hypothesis**: The data is normally distributed - **Test Statistic**: Combines skewness and excess kurtosis - **Distribution**: Asymptotically chi-square with 2 degrees of freedom - **Application**: Commonly used in finance to test if returns follow normal distribution

Author: LeetQuiz .