• 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.

• Proceeding of Spring/Autumn Annual Conference of KHA
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• 2011.04a
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• pp.285-289
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• 2011

he purpose of this study is to assess the effects of real estate policy on apartment price index in Seoul. To meet the research goal, this research reviewed real estate policy of the government from January of 1986 to August of 2010, and then it collected monthly apartment price index in 25 local districts of Seoul from January of 2003 to August of 2010. After 25 districts were grouped into 2 areas (14 districts in Gangnam and 11 districts in Gangbuk), the data of two areas were analyzed by using the SAS program, Cluster analysis with Ward method showed 3 clusters on each area, and with 6 clusters in total, the effects of real estate policy in the period were examined by using residual analysis. The analysis indicated two major shocks (one was from May to October of 2003, and the other was from March of 2006 to January of 2007), and the results showed that the intervention of government in the market had the asymmetric effects in bullish and bearish times. It implies that the market volatility is substantially influenced by irrational sentiments. Thus, it's suggested to devise the consumer sentiment index suitable in real estate market.

• Journal of Korean Society for Quality Management
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• v.30 no.3
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• pp.66-78
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• 2002

Process capability indices are being used as indicators for measurements of process capability for SPC of quality assurance system in industries. In view of the enhancement of customer satisfaction, process capability indices in which loss functions are used to deal with the economic loss In the processes deviated from the target, are in an adequate representation of the customer's perception of quality In this connection, the loss function has become increasingly important in quality assurance. Taguchi uses a modified form of the quadratic loss function to demonstrate the need to consider the proximity to the target while assessing its quality. But this traditional quadratic loss function is inadequate to assessing the quality and quality improvement since different processes have different sets of economic consequences on the manufacturing, Thereby, a flexible approach to the development of the loss function needs to be desired. In this paper, we introduce an easily understood loss function, based on reflection of probability density function of the normal distribution. That is, the Reflected Normal Loss function can be adapted to an asymmetric loss as well as to a symmetric loss around the target. We propose that, instead of the process variation, a new capability index, CpI using the Reflected Normal Loss Function that can accurately reflect the losses associated with the process and a new capability index CpI Is compared with the classical indices as $C_{p}$ , $C_{pk}$, $C_{pm}$ and $C_{pm}$ $^{+}$.>.+/./.

• Textile Coloration and Finishing
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• v.25 no.4
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• pp.241-246
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• 2013

The color properties of a white or nearly colorless fabric are represented by whiteness index (WI) or yellowness index (YI). These two indexes relate to a white fabric's color quality. The purpose of this study was to identify the properties of WI and YI on the CIELAB through the simulations of estimation data for a systemization of color quality control. The results indicated that the relationship between WI and YI was a negative correlation, however the coefficients of correlation function between WI and YI were depended on hue. There were two hue transition points of the rate of changes in WI and YI. These hue transition points were the reference points to divide the hue contribution to WI and YI. These points were not the point of h=0 and h=180 and asymmetric. In addition, where the colors were same distance from the white point on the CIELAB, the rate of changes in WI and YI by ${\Delta}$Ew were depending on hue. Specifically, when WI decreased, YI of reddish and yellowish tinted colors decreased more than bluish tinted colors.

• Communications for Statistical Applications and Methods
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• v.21 no.5
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• pp.445-459
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• 2014

This paper investigates the dependence structure of Korean financial markets (stock, foreign exchange (FX) rates and bond) using copula-GARCH and dynamic conditional correlation (DCC) models. We examine GJR-GARCH with skewed elliptical distributions and four copulas (Gaussian, Student's t, Clayton and Gumbel) to model dependence among returns, and then employ DCC model to describe system-wide correlation dynamics. We analyze the daily returns of KOSPI, FX (WON/USD) and KRX bond index (Gross Price Index) from $2^{nd}$ May 2006 to $30^{th}$ June 2014 with 2,063 observations. Empirical result shows that there is significant asymmetry and fat-tail of individual return, and strong tail-dependence among returns, especially between KOSPI and FX returns, during the 2008 Global Financial Crisis period. Focused only on recent 30 months, we find that the correlation between stock and bond markets shows dramatic increase, and system-wide correlation wanders around zero, which possibly indicates market tranquility from a systemic perspective.

• Maxillofacial Plastic and Reconstructive Surgery
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• v.27 no.3
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• pp.259-266
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• 2005

The function of the masseter and anterior temporal muscles was assessed by electromyography in 30 patients with mandibular prognathism (20 patients with facial asymmetry and 10 patients without facial asymmetry) before orthognathic surgery and 4weeks afterwards. Electromyogram(EMG) recordings were made during resting, clenching and swallowing. We compared with right-left difference of this recording and asymmetry index before and after orthognathic surgery. The result of this study was as follows. 1. There was no significant right-left difference in muscle activities of masticatory muscles both asymmetric groups and controls and many variable change after orthognathic surgery.(P>0.05) 2. The mean electric activity of the masticatory muscles was found to have decreased during more clenching than resting, but there was no statistically significant difference because of individual difference of measuring values.(P>0.05) 3. The asymmetry index of masticatory muscles in asymmetric groups was significantly greater during clenching compared with controls.(P<0.05) In conclusion, no right-left difference of muscle activities was found in patients with facial asymmetry before orthognathic surgery and 4weeks afterwards. Not only muscular functioning but also many other factors, such as occlusion, temporomandibular joint disorder and trauma, probably affect facial asymmetry and will be analyzed in future studies. And we will need long term follow-up after orthognathic surgery.

• Journal of Convergence for Information Technology
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• v.10 no.4
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• pp.46-54
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• 2020

This study aims to develop and analyze the performance of a selective option straddle strategy based on forecasted volatility to improve the weakness of typical straddle strategy solely based on negative volatility risk premium. The KOSPI 200 option volatility is forecasted by the SVM model combined with the asymmetric volatility spillover effect. The selective straddle strategy enters option position only when the volatility is forecasted downwardly or sideways. The SVM model is trained for 2008-2014 training period and applied for 2015-2018 testing period. The suggested model showed improved performance, that is, its profit becomes higher and risk becomes lower than the benchmark strategies, and consequently typical performance index, Sharpe Ratio, increases. The suggested model gives option traders guidelines as to when they enter option position.

• Journal of the Korean Institute of Electrical and Electronic Material Engineers
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• v.33 no.1
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• pp.25-30
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• 2020

Oxide (SiO₂)/Metal(Ag)/Oxide(SiO₂, ITO, ZnO) multilayer films were fabricated using a magnetron sputtering technique at room temperature on Si (p-type, 100) and a glass substrate. The electrical and optical properties of the asymmetric multilayer films depended on the thickness of the mid-layer film and the type of oxide in the bottom layer. As the metal layer becomes thicker, the sheet resistance decreases. However, the transmittance decreases when the metal layer exceeds a threshold thickness of approximately 10~12 nm. In addition, the sheet resistance and transmittance change according to the type of oxide in the bottom layer. If the oxide has a large resistivity, the overall sheet resistance increases. In addition, the anti-reflection effect changes according to the refractive index of the oxide material. The optical and electrical properties of multilayer films were investigated using an ultraviolet visible (UV-Vis) spectrophotometer and a 4-point probe, respectively. The optimum structure is SiO₂ (30 nm)/Ag (10 nm)/ZnO (30 nm) multilayer, with the highest FOM value of 7.7×10^-3 Ω^-1.

• Journal of Convergence for Information Technology
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• v.10 no.3
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• pp.67-75
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• 2020

This paper investigated the information spillover effect between stock market and bond market with the KOSPI daily index and MMF yield data. The overall analysis period is from May 2, 1997 to August 30, 2019. The empirical analysis was conducted by dividing the period from May 2, 1997 to December 30, 2008 before the global financial crisis, and from December 30, 2008 to August 30, 2019 after the global financial crisis, and the overall analysis period. The analysis shows that the EGARCH model considering asymmetric variability is suitable. The price spillover effect and volatility spillover effect existed in both directions between the stock market and the bond market, and the price transfer effect was greater in the period before the global financial crisis than in the period after the global financial crisis. Asymmetric volatility in information between stock and bond markets appears to exist in both markets.

• Journal of the Optical Society of Korea
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• v.18 no.3
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• pp.207-216
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• 2014

In this work, we report detailed numerical analysis of the near-elliptic core index-guiding triangular-lattice and square-lattice photonic crystal fiber (PCFs); where we numerically characterize the birefringence, single mode, cut-off behavior and group velocity dispersion and effective area properties. By varying geometry and examining the modal field profile we find that for the same relative values of $d/{\Lambda}$, triangular-lattice PCFs show higher birefringence whereas the square-lattice PCFs show a wider range of single-mode operation. Square-lattice PCF was found to be endlessly single-mode for higher air-filling fraction ($d/{\Lambda}$). Dispersion comparison between the two structures reveal that we need smaller lengths of triangular-lattice PCF for dispersion compensation whereas PCFs with square-lattice with nearer relative dispersion slope (RDS) can better compensate the broadband dispersion. Square-lattice PCFs show zero dispersion wavelength (ZDW) red-shifted, making it preferable for mid-IR supercontinuum generation (SCG) with highly non-linear chalcogenide material. Square-lattice PCFs show higher dispersion slope that leads to compression of the broadband, thus accumulating more power in the pulse. On the other hand, triangular-lattice PCF with flat dispersion profile can generate broader SCG. Square-lattice PCF with low Group Velocity Dispersion (GVD) at the anomalous dispersion corresponds to higher dispersion length ($L_D$) and higher degree of solitonic interaction. The effective area of square-lattice PCF is always greater than its triangular-lattice counterpart making it better suited for high power applications. We have also performed a comparison of the dispersion properties of between the symmetric-core and asymmetric-core triangular-lattice PCF. While we need smaller length of symmetric-core PCF for dispersion compensation, broadband dispersion compensation can be performed with asymmetric-core PCF. Mid-Infrared (IR) SCG can be better performed with asymmetric core PCF with compressed and high power pulse, while wider range of SCG can be performed with symmetric core PCF. Thus, this study will be extremely useful for designing/realizing fiber towards a custom application around these characteristics.