• Management & Information Systems Review
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• v.34 no.3
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• pp.17-39
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• 2015

This study examined the structural changes and volatility in the global stock markets using a Markov Regime Switching ARCH model developed by the Hamilton and Susmel (1994). Firstly, the US, Italy and Ireland showed that variance in the high volatility regime was more than five times that in the low volatility, while Korea, Russia, India, and Greece exhibited that variance in the high volatility regime was increased more than eight times that in the low. On average, a jump from regime 1 to regime 2 implied roughly three times increased in risk, while the risk during regime 3 was up to almost thirteen times than during regime 1 over the study period. And Korea, the US, India, Italy showed ARCH(1) and ARCH(2) effects, leverage and asymmetric effects. Secondly, 278 days were estimated in the persistence of low volatility regime, indicating that the mean transition probability between volatilities exhibited the highest long-term persistence in Korea. Thirdly, the coefficients appeared to be unstable structural changes and volatility for the stock markets in Chow tests during the Asian, Global and European financial crisis. In addition, 1-Step prediction error tests showed that stock markets were unstable during the Asian crisis of 1997-1998 except for Russia, and the Global crisis of 2007-2008 except for Korea and the European crisis of 2010-2011 except for Korea, the US, Russia and India. N-Step tests exhibited that most of stock markets were unstable during the Asian and Global crisis. There was little change in the Asian crisis in CUSUM tests, while stock markets were stable until the late 2000s except for some countries. Also there were stable and unstable stock markets mixed across countries in CUSUMSQ test during the crises. Fourthly, I confirmed a close relevance of the volatility between Korea and other countries in the stock markets through the likelihood ratio tests. Accordingly, I have identified the episode or events that generated the high volatility in the stock markets for the financial crisis, and for all seven stock markets the significant switch between the volatility regimes implied a considerable change in the market risk. It appeared that the high stock market volatility was related with business recession at the beginning in 1990s. By closely examining the history of political and economical events in the global countries, I found that the results of Lamoureux and Lastrapes (1990) were consistent with those of this paper, indicating there were the structural changes and volatility during the crises and specificly every high volatility regime in SWARCH-L(3,2) student t-model was accompanied by some important policy changes or financial crises in countries or other critical events in the international economy. The sophisticated nonlinear models are needed to further analysis.

• Korean Journal of Remote Sensing
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• v.37 no.3
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• pp.515-530
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• 2021

This study is to estimate soil moisture (SM) using Sentinel-1A/B C-band SAR (synthetic aperture radar) images and Multiple Linear Regression Model(MLRM) in the Yongdam-Dam watershed of South Korea. Both the Sentinel-1A and -1B images (6 days interval and 10 m resolution) were collected for 5 years from 2015 to 2019. The geometric, radiometric, and noise corrections were performed using the SNAP (SentiNel Application Platform) software and converted to backscattering coefficient of VV and VH polarization. The in-situ SM data measured at 6 locations using TDR were used to validate the estimated SM results. The 5 days antecedent precipitation data were also collected to overcome the estimation difficulty for the vegetated area not reaching the ground. The MLRM modeling was performed using yearly data and seasonal data set, and correlation analysis was performed according to the number of the independent variable. The estimated SM was verified with observed SM using the coefficient of determination (R²) and the root mean square error (RMSE). As a result of SM modeling using only BSC in the grass area, R² was 0.13 and RMSE was 4.83%. When 5 days of antecedent precipitation data was used, R² was 0.37 and RMSE was 4.11%. With the use of dry days and seasonal regression equation to reflect the decrease pattern and seasonal variability of SM, the correlation increased significantly with R² of 0.69 and RMSE of 2.88%.

• Land and Housing Review
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• v.12 no.2
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• pp.33-45
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• 2021

Due to recent changes in government policy, officetels have received attention as alternative assets, along with the uplift of office and apartment prices in Seoul. However, the current officetel price indexes use small-size samples and, thus, there is a critique on their accuracy. They rely on valuation prices which lag the market trend and do not properly reflect the volatile nature of the property market, resulting in 'smoothing'. Therefore, the purpose of this paper is to create the officetel price index using transaction data. The data, provided by the Ministry of Land, Infrastructure and Transport from 2005 to 2020, includes sales prices and rental prices - Jeonsei and monthly rent (and their combinations). This study employed a repeat sales model for sales, jeonsei, and monthly rent indexes. It also contributes to improving conversion rates (between deposit and monthly rent) as a supplementary indicator. The main findings are as follows. First, the officetel price index and jeonsei index reached 132.5P and 163.9P, respectively, in Q4 2020 (1Q 2011=100.0P). However, the rent index was approximately below 100.0. Sales prices and jeonsei continued to rise due to high demand while monthly rent was largely unchanged due to vacancy risk. Second, the increase in the officetel sales price was lower than other housing types such as apartments and villas. Third, the employed approach has seen a potential to produce more reliable officetel price indexes reflecting high volatility compared to those indexes produced by other institutions, contributing to resolving 'smoothing'. As seen in the application in Seoul, this approach can enhance accuracy and, therefore, better assist market players to understand the market trend, which is much valuable under great uncertainties such as COVID-19 environments.

• Journal of Korean Society of Forest Science
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• v.112 no.4
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• pp.417-425
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• 2023

The aim of this study was to derive stem taper equations for Quercus acuta, one of main evergreen broad-leaved tree species found in warm temperate regions, and to prepare a stem volume table using those stem taper equations. A total of 688 individual trees were used in the analysis, which were collected from Jeonnam-do, Gyeongnam-do, and Jeju-do. The stem taper models applied to derive the stem curve pattern were the Max and Burkhart, Kozak, and Lee models. Among the three stem taper models, the best explanation of the stem curve shape of Q. acuta was found to be given by the Kozak model, which showed a fitness index of 0.9583, bias of 0.0352, percentage of estimated standard error of 1.1439, and mean absolute deviation of 0.6751. Thus, the stem taper of Q. acuta was estimated using the Kozak model. Moreover,thestemvolumecalculationwasperforme d by applying the Smalian formula to the diameter and height of each stem interval. In addition, an analysis of variance (ANOVA) was conducted to compare the two existing Q. acuta stem volume tables (2007 and 2010) and the newly created stem volume table (2023). This analysis revealed that the stem volume table constructed in the Wando region in 2007 included about twice as much as the stem volume tables constructed in 2010 and 2023. The stem volume table (2023) developed in this study is not only based on the regional collection range and number of utilized trees but also on a sound scientific basis. Therefore, it can be used at the national level as an official stem volume table for Q. acuta.