• Journal of Korea Port Economic Association
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• v.30 no.3
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• pp.1-14
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• 2014

This paper aims at measuring how new information is incorporated into volatility estimates. Various GARCH models are compared and estimated with daily BDI(Baltic Dry Index) data. While most researchers agree that volatility is predictable, they differ on how this volatility predictability should be modelled. This study, hence, introduces the asymmetric or leverage volatility models, in which good news and bad news have different predictability for future. We provide the systematic comparison of volatility models focusing on the asymmetric effect of news on volatility. Specifically, three diagnostic tests are provided: the sign bias test, the negative size bias test, and the positive size bias test. From the Ljung-Box test statistic for twelfth-order serial correlation for the level we do not find any significant serial correlation in the unpredictable BDI. The coefficients of skewness and kurtosis both indicate that the unpredictable BDI has a distribution which is skewed to the left and significantly flat tailed. Furthermore, the Ljung-Box test statistic for twelfth-order serial correlations in the squares strongly suggests the presence of time-varying volatility. The sign bias test, the negative size bias test, and the positive size bias test strongly indicate that large positive(negative) BDI shocks cause more volatility than small ones. This paper, also, shows that three leverage models have problems in capturing the correct impact of news on volatility and that negative shocks do not cause higher volatility than positive shocks. Specifically, the GARCH model successfully reveals the shape of the news impact curve and is a useful approach to modeling conditional heteroscedasticity of daily BDI.

• Journal of Radiation Protection and Research
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• v.38 no.4
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• pp.194-201
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• 2013

To investigate monitoring unit (MU) efficiency and plan quality of volumetric modulated arc therapy (VMAT) using flattening-filter free (FFF) photon beam in association with target size and location. A virtual patient was generated in Eclipse$^{TM}$ (ver. A10, Varian Medical Systems, Palo Alto, USA) treatment planning system. The length of major and minor axis in axial view was 50 cm and 30 cm, respectively. Cylindrical-shaped targets were generated inside that patient at the center (symmetric target) and in the periphery (asymmetric target, 7.5 cm away from the center of the patient to the right direction) of the virtual patient. The longitudinal length was 10 cm and the diameters were 2, 5, 10 and 15 cm. Total 8 targets were generated. RapidArc$^{TM}$ plans using TrueBeam STx$^{TM}$ were generated for each target. Two full arcs were used and the axis of rotation of the gantry was set to be at the center of the virtual patient. Total MU, homogeneity index (HI), target mean dose, the value of gradient measure and body mean dose were calculated. In the case of symmetric targets, averaged total MU of FFF plan was 23% and 19% higher than that of flattening filter (FF) plan when using 6 MV and 10 MV photons, respectively. The difference of HI, target mean dose, gradient measure and body mean dose between FF and FFF was less than 0.04, 2.6%, 0.1 cm and 2.2%, respectively. For the asymmetric targets, total MU of FFF plan was 21% and 32% was higher than that of FF when using 6 MV and 10 MV photons, respectively. The homogeneity of the target was always worse when using FFF than using FF. The maximum difference of HI was 0.22. The target mean dose of FFF was 3.2% and 4.1% higher than that of FF for the 6 MV and 10 MV, respectively. The difference of gradient measure was less than 0.1 cm. The body mean dose was higher when using FFF than FF about 4.2% and 2.8% for the 6 MV and 10 MV, respectively. No significant differences between VMAT plans of FFF beam and FF beam were observed in terms of quality of treatment plan. The HI was higher when using FFF 10 MV photons for the asymmetric targets. The MU was increased noticeably when using FFF photon beams.

• Journal of Distribution Science
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• v.11 no.10
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• pp.73-79
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• 2013

Purpose - This study examines the impact of oil price volatility on economic activities in Korea. The new millennium has seen a deregulation in the crude oil market, which invited immense capital inflow into Korea. It has also raised oil price levels and volatility. Drawing on the recent theoretical literature that emphasizes the role of volatility, this paper attends to the asymmetric changes in economic growth in response to the oil price movement. This study further examines several key macroeconomic variables, such as interest rate, production, and inflation. We come to the conclusion that oil price volatility can, in some part, explain the structural changes. Research design, data, and methodology - We use two methodological frameworks in this study. First, in regards to the oil price uncertainty, we use an Exponential-GARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity: EGARCH) model estimate to elucidate the asymmetric effect of oil price shock on the conditional oil price volatility. Second, along with the estimation of the conditional volatility by the EGARCH model, we use the estimates in a VECM (Vector Error Correction Model). The study thus examines the dynamic impacts of oil price volatility on industrial production, price levels, and monetary policy responses. We also approximate the monetary policy function by the yield of monetary stabilization bond. The data collected for the study ranges from 1990: M1 to 2013: M7. In the VECM analysis section, the time span is split into two sub-periods; one from 1990 to 1999, and another from 2000 to 2013, due to the U.S. CFTC (Commodity Futures Trading Commission) deregulation on the crude oil futures that became effective in 2000. This paper intends to probe the relationship between oil price uncertainty and macroeconomic variables since the structural change in the oil market became effective. Results and Conclusions - The dynamic impulse response functions obtained from the VECM show a prolonged dampening effect of oil price volatility shock on the industrial production across all sub-periods. We also find that inflation measured by CPI rises by one standard deviation shock in response to oil price uncertainty, and lasts for the ensuing period. In addition, the impulse response functions allude that South Korea practices an expansionary monetary policy in response to oil price shocks, which stems from oil price uncertainty. Moreover, a comparison of the results of the dynamic impulse response functions from the two sub-periods suggests that the dynamic relationships have strengthened since 2000. Specifically, the results are most drastic in terms of industrial production; the impact of oil price volatility shocks has more than doubled from the year 2000 onwards. These results again indicate that the relationships between crude oil price uncertainty and Korean macroeconomic activities have been strengthened since the year2000, which resulted in a structural change in the crude oil market due to the deregulation of the crude oil futures.

• Korean Journal of Clinical Laboratory Science
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• v.50 no.2
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• pp.126-135
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• 2018

This study examined whether the difference in the middle cerebral artery (MCA) velocities can predict the prognosis of stroke and whether the prognostic impact differs among stroke subtypes. Transient ischemic attack (TIA) or acute ischemic stroke patients, who underwent a routine evaluation and transcranial Doppler (TCD), were included in this study. The MCA asymmetry index was calculated using the relative percentage difference in the mean flow velocity (MFV) between the left and right MCA: (|RMCA MFV-LMCA MFV|/mean MCA MFV)${\times}100$. The stroke subtypes were determined using the TOAST classification. Poor functional outcomes were defined as a mRS score ${\geq}3$ at 3 months after the onset of stroke. A total of 988 patients were included, of whom 157 (15.9%) had a poor functional outcome. Multivariable analysis showed that only the MCA asymmetry index was independently associated with a poor functional outcome. ROC curve analysis showed that adding the MCA asymmetry index to the prediction model improved the discrimination of a poor functional outcome from acute ischemic stroke (from 88.6% [95% CI, 85.2~91.9] to 89.2% [95% CI, 85.9~92.5]). The MCA asymmetry index has an independent prognostic value for predicting a poor short-term functional outcome after an acute cerebral infarction. Therefore, TCD may be useful for predicting a poor functional outcome in patients with acute ischemic stroke.

• 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 Oral Medicine and Pain
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• v.30 no.2
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• pp.239-246
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• 2005

The purpose of this study was to examine the difference of condylar and ramal vertical asymmetric indices on paonramic radiographs between temporomandibular disorder patients and normal group and according to classification of temporomandibular disorders. One hundred and twenty temporomandibular disorder patients and thirty normal individuals were selected. After tracing the panoramic radiographs, measurements for asymmetric indices were identified. The means and standard deviations of the measurement of each group were calculated and compared between two groups. Through the comparison of the measurement between two groups, following results were obtained 1. As a result of comparing condylar and ramal vertical asymmetry indices of the temporomandibular disorder patients with that of normal group, there was significant difference in condylar vertical asymmetry index between two groups and no significant difference in ramal vertical asymmetry index between two groups. 2. Condylar and ramal vertical asymmetry indices of temporomandibular joint disorder and muscle disorder patients showed greater value than normal group, but there was no significant difference between temporomandibular joint disorder patients and muscle disorder patients. 3. Among temporomandibular joint disorder patients, muscle disorder patients, and normal group, there was only significant difference in condylar vertical asymmetry index between temporomandibular joint disorder patients and normal group. 4. Among disc displacement, disc dislocation with reduction, and disc dislocation without reduction, there were no significant difference in condylar and ramal vertical asymmetry indices. 5. There were no correlation between aging and condylar and ramal vertical asymmetry indices. The results of the present study showed that condylar vertical asymmetry index of temporomandibular disorder patients showed greater values than normal group, and this difference could be considered as the features of temporomandibular disorders. Thus measuring the condylar vertical asymmetry index on panoramic radiographs is considered as the important factor for diagnosis and treatment of temporomandibular disorders.

• Journal of Physiology & Pathology in Korean Medicine
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• v.26 no.1
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• pp.81-87
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• 2012

The structural and biomechanical characteristics of pelvic and foot are important factors of back pain, but it is still complicated to clearly explain the relationship among them. The purpose of this study was to find out the characteristic of pelvic parameters and biomechanics of foot in patients with low back pain. Thirty-three female subjects with chronic low back pain were enrolled and ODI and VAS score were measured for back pain index. All subjects were taken the X-ray examination for major pelvic parameters and foot scan analysis for foot pressure, gait angle, fore-foot/rear-foot peak pressure ratio and asymmetric index. Statistical analysis were performed to examine the inter-relation between the measurement. As a result, it was shown the positive interrelation between back pain and F/R ratio, but others were not shown the relationship related to low back pain. And there were correlations between the lumbo-pelvic structure and biomechanics of foot in some aspects, but the causal relationship between them are still indefinable. In order to get more information about structures and biomechanics related to low back pain, subsequent researches are needed.

• International Area Studies Review
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• v.14 no.3
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• pp.62-84
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• 2010

Accurate forecasting of volatility is of considerable interest in financial volatility research, particularly in regard to portfolio allocation, option pricing and risk management because volatility is equal to market risk. So, we attempted to delineate a model with good ability to forecast and identified stylized features of volatility, with a focus on volatility persistence or long memory in the Australian futures market. In this context, we assessed the long-memory property in the volatility of index futures contracts using three conditional volatility models, namely the GARCH, IGARCH and FIGARCH models. We found that the FIGARCH model better captures the long-memory property than do the GARCH and IGARCH models. Additionally, we found that the FIGARCH model provides superior performance in one-day-ahead volatility forecasts. As discussed in this paper, the FIGARCH model should prove a useful technique in forecasting the long-memory volatility in the Australian index futures market.

• Journal of the Korea Institute of Information Security & Cryptology
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• v.18 no.4
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• pp.3-15
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• 2008

In 2000, Song. et. al. firstly proposed the Searchable Keyword Encryption System that treated a problem to search keywords on encrypted data. Since then, various Searchable Keyword Encryption Systems based on symmetric and asymmetric methods have been proposed. However, the Searchable Keyword Encryption Systems based on public key system has a problem that the index size for searching keywords on encrypted data increases linearly according to the number of keyword. In this paper, we propose the method that reduces the index size of Searchable Keyword Encryption based on public key system using Bloom Filter, apply the proposed method to PEKS(Public key Encryption with Keyword Search) that was proposed by Boneh. et. al., and analyze efficiency for the aspect of storage.

• Structural Engineering and Mechanics
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• v.85 no.3
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• pp.289-304
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• 2023

The main objective of this paper is to study the effect of porosity on the buckling behavior of thick functionally graded sandwich plate resting on various boundary conditions under different in-plane loads. The formulation is made for a newly developed sandwich plate using a functional gradient material based on a modified power law function of symmetric and asymmetric configuration. Four different porosity distribution are considered and varied in accordance with material propriety variation in the thickness direction of the face sheets of sandwich plate, metal foam also is considered in this study on the second model of sandwich which containing metal foam core and FGM face sheets. New quasi-3D high shear deformation theory is used here for this investigate; the present kinematic model introduces only six variables with stretching effect by adopting a new indeterminate integral variable in the displacement field. The stability equations are obtained by Hamilton's principle then solved by generalized solution. The effect of Pasternak and Winkler elastic foundations also including here. the present model validated with those found in the open literature, then the impact of different parameters: porosities index, foam cells distribution, boundary conditions, elastic foundation, power law index, ratio aspect, side-to-thickness ratio and different in-plane axial loads on the variation of the buckling behavior are demonstrated.