okama.Portfolio.jarque_bera

property Portfolio.jarque_bera

Perform Jarque-Bera test for normality of portfolio returns time series.

Jarque-Bera shows whether the returns have the skewness and kurtosis matching a normal distribution (null hypothesis or H0).

Returns:

dict

Jarque-Bera test statistics and p-value.

Notes

Test returns statistics (first row) and p-value (second row). p-value is the probability of obtaining test results, under the assumption that the null hypothesis is correct. In general, a large Jarque-Bera statistics and tiny p-value indicate that null hypothesis is rejected and the time series are not normally distributed.

Examples

>>> pf = ok.Portfolio(['BND.US'])
>>> pf.jarque_bera
{'statistic': 58.27670538027455, 'p-value': 2.2148949341271873e-13}