• Management & Information Systems Review
• /
• v.30 no.2
• /
• pp.237-255
• /
• 2011

This empirical study is focused on practical application of Range-Based Volatility which is estimated by opening, high, low, closing price of overall asset. Especially proper forecasting period is what I want to know. There is four useful Range-Based Volatility(RV) such as Parkinson(1980; PK), Garman and Klass(1980; GK) Rogers and Satchell(1991; RS), Yang and Zhang(2008; YZ). So, four RV of KOPSI 200 index during 2000.5.22-2009.9.18 was used for empirical test. The emprirical result as follows. First, the best RV which shows the best forecasting performance is PK volatility among PK, GK, RS, YZ volatility. According to estimating period forcasting performance of RV shows delicate difference. PK has better performance in the period with financial crisis of sub-prime mortgage loan. if not, RS is better. Second, almost result shows better performance on forecasting volatility without sub-prime mortgage loan period. so we can say that forecasting performance is lower when historical volatiltiy is comparatively high. Finally, I find that longer estimating period in AR(1) and MA(1) model can reduce forecasting error. More interesting point is that the result shows rapid decrease form 60 days to 90 days and there is no more after 90 days. So, if we forecast the volatility using Range-Based volaility it is better to estimate with 90 trading period or over 90 days.

• Management & Information Systems Review
• /
• v.33 no.2
• /
• pp.119-133
• /
• 2014

This Research focuses on the effect of the price limits change in KOSDAQ market change on the volatility. The sample period ranges from 22 May 2000 to 24 March 2010 for daily data. We construct two subsample periods for comparing with the effect of the change of the price limit. These limits were relaxed from 12% to 15% on March 25, 2005. The first subsample period is from 25 March 2000 to 24 March 2005. The second subsample period is from 25 March 2005. to 24 March 2010. We employee four different volatility, which are the range-based volatility of Parkinson(1980; PK), Garman and Klass(1980; GK) Rogers and Satchell(1991; RS), Yang and Zhang(2008; YZ). The empirical result as follows. The major findings are summarized as follows; First, the volatility of individual stocks in KOSDAQ market reduces significantly after the price limit change. Second, There is so high volatile especially when the volatility of stock prices is high. Third, There is no meaningful relationship between volatility and market capitalization. Fourth, the more volume stocks reduce the volatility. Our results show the volatility decreased the more large volume, the more trading amount and the high price stock.

• 한국해양학회지
• /
• v.7 no.1
• /
• pp.15-18
• /
• 1972

The observations of hourly change of salinity and temperature were made in the Korea Strait from August 1968 to July 1969. The largest hourly change of salinity and temperature was shown in August and the smallest in April. The range of hourly change of temperature (5.67-15.75$^{\circ}C$ on the depth of 125m) and salinity (32.1-34.3 on 20m layer) were significantly wide in August. These changes are correlated with the movement of water masses vertically and horizontally caused by changing direction and force of the current.

• Annual Conference of KIPS
• /
• 2010.04a
• /
• pp.962-965
• /
• 2010

경영환경 변화에 따라 IT 프로젝트는 수행 규모와 복잡성이 매우 증대하였고 다양한 구성 요소들이 개발, 통합하게 되면서 프로젝트의 위험 요인들이 기하급수적으로 증가하게 되어 프로젝트의 성공과 실패에 영향을 미치고 있다. 본 연구에서는 실제 IT 서비스를 제공하는 대형 SI 업체의 프로젝트 사례 분석을 통해 범위의 변동이 일정에 미치는 영향, 범위의 변동이 비용에 미치는 영향에 대해 조사, 분석 하고, 아울러 범위, 일정의 변동에 따라 발주기관과 연도별 변동성도 연구하고자 한다. 이를 위해 프로젝트 수행 관련 데이터를 수집하고, 통계적 방법에 의해 각 요인들의 영향을 분석하였다. 이러한 분석결과는 프로젝트의 범위의 변동이 프로젝트에 미치는 위험의 관리 허용 한계를 제시하여 프로젝트의 성공을 도모하고자 한다.

• Management & Information Systems Review
• /
• v.33 no.5
• /
• pp.249-260
• /
• 2014

This paper explores the relationship between firm-specific volatility and some firm characteristics such as size, the market-to-book ratio of equity, PER, PBR, PCR, PSR and turnover in KOSDAQ market. In addition, I investigate whether portfolios with difference to realized range-based volatility and firm-specific volatility have different investment performance using CAPM and FF-3 factor model. The main findings of this study can be summarized as follows. First, firm-specific volatility have mostly positive relationship between firm-specific volatility and some firm characteristics. Second, this study found that realized range-based volatility and firm-specific volatility are positively related to expected return. It means that portfolios with high idiosyncratic volatility have significantly higher expected return than portfolios with low firm-specific volatility.

• Korean Journal of Construction Engineering and Management
• /
• v.11 no.3
• /
• pp.72-79
• /
• 2010

The purpose of this study is to analysis variation of range estimation for maintenance costs of education facilities based on LCC. The adapted research method selected three education facilities in Gyeonggi-Do region. On the basis of actual maintenance costs and analyzed estimation maintenance costs are compared for analyzing standard deviation and coefficient of variation. The research of this study are as follows: 1) The average actual maintenance costs for 1,317million won and each part of average ratio exterior 19%, interior 28%, electricity & fire fighting 22%, water supply & healthy 18%, heating & water supply 13%. 2)The average analysis maintenance costs for 1,920million won and each part of average ratio exterior 20%, interior 25%, electricity & fire fighting 22%, water supply & healthy 20%, heating &water supply 13%.. 3) The analysis variation of ranges for average costs 1,619million won for minimum costs 1,409million, maximum costs 1,813million won.

• Journal of the Korean Society of Fisheries and Ocean Technology
• /
• v.40 no.3
• /
• pp.189-195
• /
• 2004

The underwater sound of California gary whale was analyzed to discuss obtained results from the previous data to compare the underwater sound between Korean gray whale and California gray whale. The frequency of low frequency rumble which occupy about 50% of the underwater sound changed to max. 654Hz and the average of its lasted time was 570msec. The range of frequency variation was coincided as compared with the previous data. The range of frequency variation for the bubble type sounds and knocks was 24${\sim}$1029Hz, respectively. The average of lasted time was 1100msec and 1364msec, respectively. The range of frequency variation and lasted time of bubble type sounds was higher than the previous result while the sound of knocks was coincided. The range of frequency variation for the sound of bong, pluses and chirps was 34${\sim}$213Hz, 75${\sim}$360Hz and 120${\sim}$200Hz, respectively and the average of lasted time was 84msec, 873msec and 80msec, respectively.

• KOREAN POULTRY JOURNAL
• /
• v.7 no.12 s.74
• /
• pp.69-73
• /
• 1975

부원료가격이나 제조경비의 앙등요인을 감안, 약간의 거래조건 변동이나 사료의 종류에 따라 약간의 가격변동은 있겠으나 근본적으로 배합사료의 대폭적인 변동은 당분간 없을 것으로 전망되나 양계가는 양계산물의 가격안정을 위해 소비자에 피해를 주지않는 범위내에서 적정수준의 생산조절을 강구해야 할 것이다.

• Journal of the Korea Concrete Institute
• /
• v.26 no.4
• /
• pp.457-463
• /
• 2014

The permitted limit, ${\pm}12%$, of the change in solid contents based on ASTM C 494 as an interim standard in Korea Expressway Corporation, can not reflect the kind of chemical admixture and the characteristics of solid content so that it differed depending on the admixture types. In this study, effect of cement concrete quality was investigated by solid changes which can be used chemical admixtures acceptance criteria. As a result of an evaluation of a change in the quality of concrete due to solid content, since Ligno-sulfonate based (LG) had a low water reducing ratio, the range of the change in solid content was great while Naphthalene sulfonated based (PNS) and Poly-carboxylate based (PC) High Range Water-reducing Admixtures (HRWR) had a high water reducing ratio, the permitted limit of the difference in solid content currently used as the acceptance criterion should be readjusted. As a result, it is found that the acceptable range must be managed within 10% and 5% when the solid contents less than 25% and more than 25%, respectively.

• KSCE Journal of Civil and Environmental Engineering Research
• /
• v.8 no.2
• /
• pp.167-175
• /
• 1988

The principle objective of this study is to evaluate the fatigue behavior of structural steel components of highway bridges subjected to service stresses. The main aspects of this investigation are; 1) a measurement and statistical analysis of service stress cycles observed in highway bridge. 2) fatigue tests under equivalent constant-amplitude(CA) loading and simulated variable-amplitude(VA) loading 3) a evaluation of the fatigue behavior under VA-loading by eqivalent root mean cube (RMC) stress range. Theoretically, the RMC model is adequate in evaluation of fatigue behavior under VA-loading, because the regression coefficient (m) of crack growth rate is 3 approximately. The result of fatigue test shows that the RMC model is fitter than the current RMS model in fatigue evaluation under VA-loading. The interaction effects and sequence effects under VA-loading affect little fatigue life of structural components. As the transition rate of stress ranges is higher, the crack growth rate is higher.