Kurtosis

fourth momentum of returns:

$t = x - mean(x)$ $m = mean(t ^ 4)$ $s = mean(t ^ 2)$ $kurtosis = \frac{m}{s^2}$

A normal distribution has a kurtosis of 3.

If kurtosis < 3 then the distribution is platykurtic (looks flatter than normal distr., more mass in the centre, has smaller tails),

if kurtosis > 3 then the disitribution is said to be leptokurtic (more peaked than normal distr. and larger tails!).