What is Kurtosis?
Kurtosis measures how heavy the tails of a distribution are. A normal distribution has a kurtosis of 3, so analysts often quote excess kurtosis, which is kurtosis minus 3. Positive excess kurtosis means more extreme results than a bell curve with the same spread would produce.
Why Kurtosis matters
Daily market returns typically show positive excess kurtosis, which is the statistical name for fat tails.