• Journal of Intelligence and Information Systems
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• v.16 no.2
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• pp.19-32
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• 2010

Volatility plays a central role in both academic and practical applications, especially in pricing financial derivative products and trading volatility strategies. This study presents a novel mechanism based on generalized autoregressive conditional heteroskedasticity (GARCH) models that is able to enhance the performance of intelligent volatility trading systems by predicting Korean stock market volatility more accurately. In particular, we embedded the concept of the volatility asymmetry documented widely in the literature into our model. The newly developed Korean stock market volatility index of KOSPI 200, VKOSPI, is used as a volatility proxy. It is the price of a linear portfolio of the KOSPI 200 index options and measures the effect of the expectations of dealers and option traders on stock market volatility for 30 calendar days. The KOSPI 200 index options market started in 1997 and has become the most actively traded market in the world. Its trading volume is more than 10 million contracts a day and records the highest of all the stock index option markets. Therefore, analyzing the VKOSPI has great importance in understanding volatility inherent in option prices and can afford some trading ideas for futures and option dealers. Use of the VKOSPI as volatility proxy avoids statistical estimation problems associated with other measures of volatility since the VKOSPI is model-free expected volatility of market participants calculated directly from the transacted option prices. This study estimates the symmetric and asymmetric GARCH models for the KOSPI 200 index from January 2003 to December 2006 by the maximum likelihood procedure. Asymmetric GARCH models include GJR-GARCH model of Glosten, Jagannathan and Runke, exponential GARCH model of Nelson and power autoregressive conditional heteroskedasticity (ARCH) of Ding, Granger and Engle. Symmetric GARCH model indicates basic GARCH (1, 1). Tomorrow's forecasted value and change direction of stock market volatility are obtained by recursive GARCH specifications from January 2007 to December 2009 and are compared with the VKOSPI. Empirical results indicate that negative unanticipated returns increase volatility more than positive return shocks of equal magnitude decrease volatility, indicating the existence of volatility asymmetry in the Korean stock market. The point value and change direction of tomorrow VKOSPI are estimated and forecasted by GARCH models. Volatility trading system is developed using the forecasted change direction of the VKOSPI, that is, if tomorrow VKOSPI is expected to rise, a long straddle or strangle position is established. A short straddle or strangle position is taken if VKOSPI is expected to fall tomorrow. Total profit is calculated as the cumulative sum of the VKOSPI percentage change. If forecasted direction is correct, the absolute value of the VKOSPI percentage changes is added to trading profit. It is subtracted from the trading profit if forecasted direction is not correct. For the in-sample period, the power ARCH model best fits in a statistical metric, Mean Squared Prediction Error (MSPE), and the exponential GARCH model shows the highest Mean Correct Prediction (MCP). The power ARCH model best fits also for the out-of-sample period and provides the highest probability for the VKOSPI change direction tomorrow. Generally, the power ARCH model shows the best fit for the VKOSPI. All the GARCH models provide trading profits for volatility trading system and the exponential GARCH model shows the best performance, annual profit of 197.56%, during the in-sample period. The GARCH models present trading profits during the out-of-sample period except for the exponential GARCH model. During the out-of-sample period, the power ARCH model shows the largest annual trading profit of 38%. The volatility clustering and asymmetry found in this research are the reflection of volatility non-linearity. This further suggests that combining the asymmetric GARCH models and artificial neural networks can significantly enhance the performance of the suggested volatility trading system, since artificial neural networks have been shown to effectively model nonlinear relationships.

• Journal of Dental Rehabilitation and Applied Science
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• v.30 no.3
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• pp.223-230
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• 2014

Purpose: The purpose of this study was to evaluate the improvement and posttreatment stability of patients treated with extraction of lower incisors. Materials and Methods: The total of 20 patients with extracted lower incisors were analyzed by means of diagnostic models and panoramic x-rays at the time of initial, final and after 2 years of retention period of the treatment. Irregularity index, overjet, overbite, tooth size-arch length discrepancy (TSALD), intercanine width, intermolar width and American Board of Orthodontics cast/radiographic evaluation (ABO-CRE) were analyzed. Statistical analysis was performed using Wilcoxon signed-rank test. Results: After treatment, irregularity index showed significant decrease (P = 0.000). TSALD showed significant increase (P = 0.028). During retention period, irregularity index showed significant increase (P = 0.001). For ABO-CRE, total score showed significant decrease after treatment (P = 0.000) and showed average decreased which was not significant result (P = 0.053). Conclusion: Through evaluation of stability of extraction of lower incisors by means of diagnostic models and panoramic x-rays, it can be concluded that lower incisor extraction treatment had been stable for 2 years after treatment.

• The korean journal of orthodontics
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• v.46 no.4
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• pp.199-211
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• 2016

Objective: Given the considerable disagreement between the Peer Assessment Rating (PAR) index and the American Board of Orthodontics Cast-Radiograph Evaluation, we aimed to develop a novel assessment system-the Improvement and Completion of Outcome (ICO) index-to evaluate the outcome of orthodontic treatment. Methods: Sixteen criteria from 4 major categories were established to represent the pretreatment malocclusion status, as well as the degree of improvement and level of completion of outcome during/after treatment: dental relationship (arch length discrepancy, irregularity, U1-SN, and IMPA); anteroposterior relationship (overjet, right and left molar position, ANB); vertical relationship (anterior overbite, anterior open-bite, lateral open-bite, SN-MP); and transverse relationship (dental midline discrepancy, chin point deviation, posterior cross-bite, occlusal plane cant). The score for each criterion was defined from 0 or -1 (worst) to 5 (ideal value or normal occlusion) in gradations of 1. The sum of the scores in each category indicates the area and extent of the problems. Improvement and completion percentages were estimated based on the pre- and post-treatment total scores and the maximum total score. If the completion percentage exceeded 80%, treatment outcome was considered successful. Results: Two cases, Class I malocclusion and skeletal Class III malocclusion, are presented to represent the assessment procedure using the ICO index. The difference in the level of improvement and completion of treatment outcome can be clearly explained by using 2 percentage values. Conclusions: Thus, the ICO index enables the evaluation of the quality of orthodontic treatment objectively and consecutively throughout the entire treatment process.

• Journal of the Korean Geotechnical Society
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• v.29 no.3
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• pp.5-13
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• 2013

The compression index, representing the compressibility of clay, is generally obtained from the consolidation test, or predicted by empirical correlations using soil properties. However, empirical methods have regional limitations, because the compression index is affected not only by soil properties but also by site characteristics, such as deposition conditions and stress history. In this study, a method evaluating the compression index from typical soil properties is suggested using the characteristics of reconstituted clay. By analyzing the consolidation test results of Busan clay, the suggested method is verified, and the analysis of prediction error is carried out. It is shown that the proposed method evaluates the compression index more accurately than empirical methods previously suggested. The prediction errors occur by assumption, and are inversely proportional to $e_{cross}/e_0$, obviously.

• Journal of Periodontal and Implant Science
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• v.50 no.5
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• pp.340-354
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• 2020

Purpose: This pilot study was conducted to evaluate the cleaning efficacy of an angled implant brush for home oral hygiene of full-arch fixed-implant prostheses. Methods: Forty-one patients treated with a full-arch implant rehabilitation in the maxilla or mandible (164 implants) for at least 4 months were enrolled. The screw-retained fixed prostheses were removed and baseline (T0) parameters were recorded, including plaque index (PI), probing depth (PD), and bleeding on probing (BOP). All patients completed a 5-item questionnaire on hygiene maintenance and received an implant brush for home hygiene. After 1 month (T1) PI, PD, and BOP were recorded again and patients completed a 7-item questionnaire to evaluate their satisfaction with the implant brush. One-way repeated-measures analysis of variance was conducted to evaluate the significance of changes in PI, PD, and BOP. A P value <0.05 was considered to indicate statistical significance. Results: A statistically significant reduction of BOP (0.62±0.6 at T0 vs. 0.5±0.5 at T1; P=0.032) was found, while no statistically significant changes in PD (1.74±0.5 mm at T0 vs. 1.77±0.5 mm at T1; P=0.050) or PI (1.9±0.7 at T0 vs. 1.7±0.7 at T1; P=0.280) occurred. According to the 7-item questionnaire, patients reported no difficulty in using the angled brush (63.4%) and deemed it highly (46.3%) or very highly (4.8%) effective in improving their home oral hygiene. Conclusions: Within the limits of the present pilot study, the patients experienced a reduction of BOP 1 month after being instructed to use the angled implant brush. The angled implant brush appeared to be a well-accepted device for home-care hygiene of full-arch fixed-implant rehabilitations.

• Journal of Chest Surgery
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• v.30 no.4
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• pp.363-372
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• 1997

One hundred forty-four patients underwent operation for coarctation of the aorta at Seoul National University Children's Hospital between June 1986 and Decembsr 1995. Age ranged 0.1 to 191 months. Of these 78.5%(113) were infants. We classified the patients in terms of the anatomic location of coarctatiln and the associatCd anomalies(I[401= primary coarctation, 11(741=isthmic hypoplasia, lIIf30)=tubular hypoplasia involving transverse arch, Ar63 =with ventricular septal defect, B(28)=with other major cardiac defects). Subcalvian flap coarctoplasty(60), resection & anastomosis(44), extended aortoplasty(26), and onlay patch(14) were used as surgical methods. Overall operative mortality was 16.0(23/144)%. The hospital mortality was signific'antly higher in patheints with type 111, subtype B, younger age(under 3 months), extended aortoplasty(p(0.01). However, one-stage total repair in patients with subtype A or B were not found to be a predictor of hospital death. Restenosis had occured in 18 patients among 121 survivals(14. 9%). The mean follow-up period was 29.1 $\pm$28.8(0~129.2) months. Preoperative, immediate postoperative(within 3 months after operation) and postoperative(later than 6 months after operation) echocardiographic data on the dimensions of ascending aorta(AA), transverse arch(TA), an4 aortic isthmus(Al) were available in 77 patients(I=20, ll=42, 111= 15). Preoperative and postoperative aortic isthmus(All) and tra sverse arch indices(TAI), defined as TAIAA & AIIAA respectively, were compared. Immediate postoperative All in type 1, II and TAI in type 111 were significantly smaller in stenotic than non-stenotic group suggesting incomplete relieves of stenotic segment Younger age, subclavian coarctoplasty in patient under 3 months of age were round to be the risk factors for restenosis in this series. In conclusion, We found that aortic arch index and transverse arch index can be a useful tool to figure out the anatomic and clinical characteristics of the patients with aortic coarctation, and that anatomy, associated anomalies, age, and surgical methods may influence the surgical outcome of the coarctation repair.

• Journal of Korea Water Resources Association
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• v.39 no.12 s.173
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• pp.997-1012
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• 2006

We have presented a nonparametric stochastic approach for the SOI(Southern Oscillation Index) series that used nonlinear methodology called Nonlinear AutoRegressive(NAR) based on conditional kernel density function and CAFPE(Corrected Asymptotic Final Prediction Error) lag selection. The fitted linear AR model represents heteroscedasticity, and besides, a BDS(Brock - Dechert - Sheinkman) statistics is rejected. Hence, we applied NAR model to the SOI series. We can identify the lags 1, 2 and 4 are appropriate one, and estimated conditional mean function. There is no autocorrelation of residuals in the Portmanteau Test. However, the null hypothesis of normality and no heteroscedasticity is rejected in the Jarque-Bera Test and ARCH-LM Test, respectively. Moreover, the lag selection for conditional standard deviation function with CAFPE provides lags 3, 8 and 9. As the results of conditional standard deviation analysis, all I.I.D assumptions of the residuals are accepted. Particularly, the BDS statistics is accepted at the 95% and 99% significance level. Finally, we split the SOI set into a sample for estimating themodel and a sample for out-of-sample prediction, that is, we conduct the one-step ahead forecasts for the last 97 values (15%). The NAR model shows a MSEP of 0.5464 that is 7% lower than those of the linear model. Hence, the relevance of the NAR model may be proved in these results, and the nonparametric NAR model is encouraging rather than a linear one to reflect the nonlinearity of SOI series.

• Structural Engineering and Mechanics
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• v.63 no.5
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• pp.639-646
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• 2017

According to the multi-index system of dam safety assessment and the standard of safety, a comprehensive evaluation model for dam safety based on a cloud model is established to determine the basic probability assignment of the Dempster-Shafer theory. The Dempster-Shafer theory is improved to solve the high conflict problems via fusion calculation. Compared with the traditional Dempster-Shafer theory, the application is more extensive and the result is more reasonable. The uncertainty model of dam safety multi-index comprehensive evaluation is applied according to the two theories above. The rationality and feasibility of the model are verified through application to the safety evaluation of a practical arch dam.

• The korean journal of orthodontics
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• v.51 no.6
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• pp.397-406
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• 2021

Objective: The purpose of this study was to evaluate the effects of self-ligating brackets (SBs) and other factors that influence orthodontic treatment outcomes. Methods: This two-armed cohort study included consecutively treated patients in a private practice. The patients were asked to choose between SBs and conventional brackets (CBs); if any patient did not have a preference, he or she was randomly allocated to the CB or SB group. All patients were treated using an identical archwire sequence. Evaluated parameters were as follows: treatment duration, number of bracket failures, poor oral hygiene, poor elastic wear, extraction, use of orthodontic mini-implants (OMI), OMI failure, American Board of Orthodontics (ABO) Discrepancy Index (DI), arch length discrepancy, and ABO Cast-Radiograph Evaluation (CRE) score. Stepwise regression analysis was performed to generate the equation for prediction of the CRE. Results: The final sample comprised 134 patients with an average age of 22.73 years. The average DI, CRE, and treatment duration were 21.81, 14.25, and 28.63 months, respectively. Analysis of covariance showed a significant difference in CRE between the CB and SB groups after adjusting for the effects of confounding variables. Stepwise regression analysis using four variables, namely extraction, SB use, poor elastic wear, and additional appliance use, could explain only 25.2% of the variance in the CRE. Conclusions: Although the CRE was significantly better for CBs than for SBs, the clinical significance of this result seems to be limited. Extraction, SB use, poor elastic wear, and additional appliance use may have significant effects on treatment outcomes.

• The Korean Journal of Applied Statistics
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• v.16 no.2
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• pp.217-224
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• 2003

The volatility in the financial data is usually measured by conditional variance. Two main streams for gauging conditional variance are stochastic volatility (SV) model and autoregressive type approach (GARCH). This article is conducting comparative study between SV and GARCH through the Korean Stock Prices Index (KOSPI) data. It is seen that SV model is slightly better than GARCH(1,1) in analyzing KOSPI data.