• The Korean Journal of Applied Statistics
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• v.36 no.6
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• pp.561-571
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• 2023

Volatility of a time series is defined as the conditional variance on the past information. In particular, for financial time series, volatility is regarded as a time-varying measure of risk for the financial series. To capture the intrinsic asymmetry in the risk of financial series, various asymmetric volatility processes including threshold-ARCH (TARCH, for short) have been proposed in the literature (see, for instance, Choi et al., 2012). This paper proposes a volatility function featuring non-zero origin in which the origin of the volatility is shifted from the zero and therefore the resulting volatility function is certainly asymmetric around zero and achieves the minimum at a non-zero (rather than zero) point. To validate the proposed volatility function, we analyze the Korea stock prices index (KOSPI) time series during the Covid-19 pandemic period for which origin shift to the left of the zero in volatility is shown to be apparent using the minimum AIC as well as via parametric bootstrap verification.

• Journal of the Korean Society of Surveying, Geodesy, Photogrammetry and Cartography
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• v.29 no.4
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• pp.393-403
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• 2011

In this study, we suggested the period of tide observations is proper to calculate the mean sea level(MSL) precisely on Incheon tide station using wavelet analysis, and newly determined then the vertical reference surface of Korea using the calculated MSL. In order to calculate the height difference between the calculated MSL and specific ground station (ICGP) near the Incheon tide stations, we performed the laser measurements directly to the sea surface where located below ICGP. The orthometric-height of ICGP was determined that corrected the height difference to the calculated MSL using linear interpolation method. Finally, we connected the orthometric-height of ICGP with the original benchmark (ORBM) using GPS leveling methods for determining the new orthometric-height of ORBM. As the results, there is a variation amount of 0.026m between the new MSL was calculated in this study and old MSL was calculated in 1910's. Also, there is a difference of 0.035m between the new and old orthometric-heights of ORBM. The connection (or leveling) error of 0.009m was revealed in new orthometric height of ORBM with consideration of MSL variation which may caused by the error of GPS ellipsoid height and/or geoid model. In this study, we could be determined precisely the orthometric-height of ORBM based on the new MSL of Incheon Bay using only GPS leveling method, not a spirit leveling method. Therefore, it is necessary to determine the vertical datum strictly using long-term and continuously tide observations more than 19 years and to use the GPS leveling method widely in the height leveling work for the effective changeover from the orthonormal to the orthometric in national height system.