• Proceedings of the Korea Water Resources Association Conference
• /
• 2022.05a
• /
• pp.189-189
• /
• 2022

물 공급 시설의 효율적이고 안정적인 운영을 위한 운영 계획의 수립 및 검증을 위해서는 장기간의 유입량 자료가 필요하다. 하지만, 현실적으로 얻을 수 있는 실측 자료는 제한적이며, 유입량이 부족하여 댐 운영에 영향을 미치는 자료는 더욱 적을 수밖에 없다. 이를 개선하고자 장기간의 모의 유입량을 생성해 운영 계획을 수립하는 방법이 종종 사용되지만, 실측 자료를 기반으로 모의하기 때문에 이 역시 가뭄의 빈도가 낮아, 장기 가뭄이나 짧은 간격으로 가뭄이 발생할 시 안정적인 운영이 어렵다. 본 연구에서는 장기 가뭄 발생 시에도 안정적인 물 공급이 가능한 운영 계획 수립을 위해 가뭄 빈도를 증가시킨 유입량 모의 기법을 제안하고자 한다. 제안하는 모의 기법은 최근 머신러닝에서 사용되는 SMOTE 알고리즘을 기반으로 한다. SMOTE 알고리즘은 데이터의 불균형을 처리하기 위한 오버 샘플링 기법으로, 소수 그룹을 단순 복제하지 않고 새로운 복제본을 생성해 과적합의 위험이 적으며, 원자료의 정보가 손실되지 않는 장점이 있다. 본 연구에서는 미국 캘리포니아주에 위치한 Folsom 댐을 대상으로 고빈도 가뭄 유입량을 모의했으며, 고빈도 가뭄 유입량을 사용한 운영 계획을 수립하였다. Folsom 댐의 과거 관측 유입량 자료를 기반으로 고빈도 가뭄 유입량을 사용한 운영 계획과 일반적인 가뭄 빈도의 유입량을 사용한 운영 계획을 적용했을 때 발생하는 공급 부족량과 과잉 방류량의 차이를 비교해 고빈도 가뭄 유입량의 사용이 물 공급 시설의 안정적인 운영에 끼치는 영향을 확인하고자 한다.

• The Korean Journal of Applied Statistics
• /
• v.29 no.3
• /
• pp.505-512
• /
• 2016

The paper is concerned with high frequency financial time series. A weighted hybrid volatility is suggested to compute daily volatilities based on high frequency data. Various realized volatility (RV) computations are reviewed and the weights are chosen by minimizing the differences between the hybrid volatility and the realized volatility. A high frequency time series of KOSPI200 index is illustrated via QLIKE and Theil-U statistics.

• The Korean Journal of Applied Statistics
• /
• v.30 no.1
• /
• pp.169-180
• /
• 2017

Multivariate GARCH models are interested in conditional variances (volatilities) as well as conditional correlations between return time series. This paper is concerned with high-frequency multivariate financial time series from which realized volatilities and realized conditional correlations of intra-day returns are calculated. Existing multivariate GARCH models are reviewed comparatively with the realized volatility via canonical correlations and value at risk (VaR). Korean stock prices are analysed for illustration.

• The Korean Journal of Applied Statistics
• /
• v.28 no.6
• /
• pp.1163-1170
• /
• 2015

Various computational methods for obtaining volatilities for financial time series are reviewed and compared with each other. We reviewed model based GARCH approach as well as the data based method which can essentially be regarded as a smoothing technique applied to the squared data. The method for high frequency data is focused to obtain the realized volatility. A hybrid method is suggested by combining the model based GARCH and the historical volatility which is a data based method. Korea stock prices are analysed to illustrate various computational methods for volatilities.

• The Korean Journal of Applied Statistics
• /
• v.30 no.6
• /
• pp.983-991
• /
• 2017

High frequency time series are now prevalent in financial data. However, models need to be further developed to suit high frequency time series that account for intraday volatilities since traditional volatility models such as ARCH and GARCH are concerned only with daily volatilities. Due to $H{\ddot{o}}rmann$ et al. (2013), functional ARCH abbreviated as fARCH is proposed to analyze intraday volatilities based on high frequency time series. This article introduces fARCH to readers that illustrate intraday volatility configuration on the KOSPI and the Hyundai motor company based on the data with one minute high frequency.

• The Korean Journal of Applied Statistics
• /
• v.33 no.6
• /
• pp.805-812
• /
• 2020

High-frequency data are now prevalent in financial time series. As a functional data arising from high-frequency financial time series, we are concerned with the intraday volatility to which functional principal component analysis (FPCA) is applied in order to achieve a dimension reduction. A review on FPCA and R function is made and high-frequency KOSPI volatility is analysed as an application.

• The Korean Journal of Applied Statistics
• /
• v.30 no.5
• /
• pp.747-757
• /
• 2017

We investigate multivariate volatilities based on high frequency time series. The PCA (principal component analysis) method is employed to achieve a dimension reduction in multivariate volatility. Multivariate realized volatilities (RV) with various frequencies are calculated from high frequency data and "optimum" frequency is suggested using PCA. Specifically, RVs with various frequencies are compared with existing daily volatilities such as Cholesky, EWMA and BEKK after dimension reduction via PCA. An analysis of high frequency stock prices of KOSPI, Samsung Electronics and Hyundai motor company is illustrated.

• The Korean Journal of Applied Statistics
• /
• v.29 no.1
• /
• pp.221-230
• /
• 2016

This paper investigates volatilities of stock returns based on high frequency data from stock market. Incorporating the price duration as one of the factors in volatility, we employ the autoregressive conditional duration (ACD) model for the price duration in addition to the GARCH model to analyze stock volatilities. A combined ACD-GARCH model is analyzed in which a double-threshold is introduced to accommodate asymmetric features on stock volatilities.

• The Korean Journal of Applied Statistics
• /
• v.31 no.2
• /
• pp.205-216
• /
• 2018

This paper is concerned with volatility computations for high frequency time series. A threshold-asymmetric realized volatility (T-RV) is suggested to capture a leverage effect. The T-RV is compared with various conventional volatility computations including standard realized volatility, GARCH-type volatilities, historical volatility and exponentially weighted moving average volatility. High frequency KOSPI data are analyzed for illustration.

• The Korean Journal of Applied Statistics
• /
• v.33 no.3
• /
• pp.297-308
• /
• 2020

We focus on the functional autoregressive conditional heteroscedasticity (fARCH) modelling to analyze intraday volatilities based on high frequency financial time series. Multivariate volatility models are investigated to approximate fARCH(1). A formula of multi-step ahead volatilities for fARCH(1) model is derived. As an application, in implementing fARCH(1), a choice of appropriate time interval for the intraday return is discussed. High frequency KOSPI data analysis is conducted to illustrate the main contributions of the article.