qis.regimes.calibrate_student_t_nu

qis.regimes.calibrate_student_t_nu(excess_kurtosis, min_nu=4.5)

Student-t degrees of freedom matching a sample excess kurtosis, nu = 4 + 6 / kurt.

Parameters:

• excess_kurtosis (float) – sample excess kurtosis of the benchmark returns

• min_nu (float) – floor of the result, above 4 so that the matched fourth moment exists

Returns:

the degrees of freedom, or None when the excess kurtosis is not positive and the Gaussian null is the tighter benchmark

Return type:

float | None