Leptokurtic is a type of statistical distribution which demonstrates the effect of kurtosis. Kurtosis explains the peaks of the probability distribution of a random variable by showing how they are distributed around the mean. It is derived from the Greek word kurtos which means arching/bulging. There are 3 types of distributions based on this – Mesokurtic, Leptokurtic & Platykurtic.
In Leptokurtic distribution, the peaks around the mean are higher indicating that the frequency of values is higher around the mean. Because of this, the tail portion of the distribution is long and thick. This means that the probability of a value to fall far away from the mean is high.
The Student’s t- distribution is a very good example of leptokurtic distribution. It is symmetric and is bell shaped similar to that of a normal distribution.