Parameters CF Moments

Mean 0.5000 #ADDIN?

Standard Deviation 1.5000 #ADDIN?
Skewess -1.0000 #ADDIN?
Kurtosis 3.0000 #ADDIN?

Cornish-Fisher Expansion Normal DistributionFisher Expansion Set kurtosis to 10 (or

0.01 #ADDIN? -2.9895 #ADDIN? any other value above
the maximum kurtosis
0.05 #ADDIN? -1.9673 #ADDIN? value)
0.1 #ADDIN? -1.4223 #ADDIN?
0.15 #ADDIN? -1.0547 #ADDIN?
0.2 #ADDIN? -0.7624 #ADDIN?
0.25 #ADDIN? -0.5117 #ADDIN?
0.3 #ADDIN? -0.2866 #ADDIN?
0.35 #ADDIN? -0.0780 #ADDIN?
0.4 #ADDIN? 0.1200 #ADDIN?
0.45 #ADDIN? 0.3115 #ADDIN?
0.5 #ADDIN? 0.5000 #ADDIN?
0.55 #ADDIN? 0.6885 #ADDIN?
0.6 #ADDIN? 0.8800 #ADDIN?
0.65 #ADDIN? 1.0780 #ADDIN?
0.7 #ADDIN? 1.2866 #ADDIN?
0.75 #ADDIN? 1.5117 #ADDIN?
0.8 #ADDIN? 1.7624 #ADDIN?
0.85 #ADDIN? 2.0547 #ADDIN?
0.9 #ADDIN? 2.4223 #ADDIN?
0.95 #ADDIN? 2.9673 #ADDIN?
0.99 #ADDIN? 3.9895 #ADDIN?
Calibrated Parameters
#ADDIN? Is Cornish-Fisher Approximation valid?
#ADDIN? Maximum kurtosis value (given skewness)
#ADDIN? Minimum kurtosis value (given skewness)
#ADDIN?

Set kurtosis to 10 (or

any other value above
the maximum kurtosis
value) 1
0.9
0.8 Cornish-Fisher
Expansion
0.7
Normal Distribution
0.6
Calibrated Cornish-
0.5 Fisher Expansion
0.4
0.3
0.2
0.1
0
-5.0000 - 5.0000 10.0000 15.0000 20.0000 25.0000
 #ADDIN?
#ADDIN?
#ADDIN?

20.0000 25.0000