• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.37-41
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• 2021

This study aims to investigate the relationship between the exchange rate and Trade Balance. Trade Balance is used as the dependent variable, and the independent variables are Exchange Rate, Gross Domestic Product, and Inflation. Augmented Dickey-Fuller unit root test was adopted to test the stationary property of time series data, Auto Regressive Distributed Lag model was employed to find the long run and short-run relationship and long-run adjustment, Bound test approach, the unrestricted Error Correction Model and Granger Causality Test are used to analyze the data from 1977 to 2019. The research findings suggest that inflation has a positive impact on the trade balance in the short run. The exchange rate and the Gross Domestic Product have adverse effects on Trade balance in the long run. The coefficient of ER in the previous year is negative, and the coefficient of TB in the previous year is positive and significant. This is consistent with the J-Curve phenomenon, which states that devaluation may not improve trade balance in the immediate period, but will significantly impact the trade balance improvement in subsequent periods. Hence Marshall Lerner Condition exists in Sri Lanka.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.5
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• pp.913-921
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• 2021

The objective of the study is to investigate the impact of the COVID-19 pandemic on Saudi Arabia stock market. The study relied on the data of the daily closing stock market price index Tadawul All Share Index (TASI), and the number of daily cases infected with COVID-19 during the period from March 15, 2020, to August 10, 2020. The study employs the Vector Auto-Regressive (VAR) model, the Impulse Response Function (IRF) and Autoregressive Conditional Heteroscedasticity (ARCH) models. The results of the correlation matrix and the Impulse Response Function (IRF) show that stock market returns responded negatively to the growth in COVID-19 infected cases during the pandemic. The results of ARCH model confirmed the negative impact of COVID-19 pandemic on KSA stock market returns. The results also showed that the negative market reaction was strong during the early days of the COVID-19 pandemic. The study concluded that stock market in KSA responded quickly to the COVID-19 pandemic; the response varies over time according to the stage of the pandemic. However, the Saudi government's response time and size of the stimulus package have played an important role in alleviating the impacts of the COVID-19 pandemic on Saudi Arabia Stock Market.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.339-347
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• 2021

This study aims to forecast the exchange rate by a combination of different models as proposed by Poon and Granger (2003). For this purpose, we include three univariate time series models, i.e., ARIMA, Naïve, Exponential smoothing, and one multivariate model, i.e., NARDL. This is the first of its kind endeavor to combine univariate models along with NARDL to the best of our knowledge. Utilizing monthly data from January 2011 to December 2020, we predict the Pakistani Rupee against the US dollar by a combination of different forecasting techniques. The observations from M1 2020 to M12 2020 are held back for in-sample forecasting. The models are then assessed through equal weightage and var-cor methods. Our results suggest that NARDL outperforms all individual time series models in terms of forecasting the exchange rate. Similarly, the combination of NARDL and Naïve model again outperformed all of the individual as well as combined models with the lowest MAPE value of 0.612 suggesting that the Pakistani Rupee exchange rate against the US Dollar is dependent upon the macro-economic fundamentals and recent observations of the time series. Further evidence shows that the combination of models plays a vital role in forecasting, as stated by Poon and Granger (2003).

• Journal of Positioning, Navigation, and Timing
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• v.13 no.1
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• pp.111-115
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• 2024

This study builds a machine learning model optimized for clocks among various techniques in the field of artificial intelligence and applies it to clock stabilization or synchronization technology based on atomic clock noise characteristics. In addition, the possibility of providing stable source clock data is confirmed through the characteristics of machine learning predicted values during holdover of atomic clocks. The proposed machine learning model is evaluated by comparing its performance with the AutoRegressive Integrated Moving Average (ARIMA) model, an existing statistical clock prediction model. From the results of the analysis, the prediction model proposed in this study (MSE: 9.47476) has a lower MSE value than the ARIMA model (MSE: 221.2622), which means that it provides more accurate predictions. The prediction accuracy is based on understanding the complex nature of data that changes over time and how well the model reflects this. The application of a machine learning prediction model can be seen as a way to overcome the limitations of the statistical-based ARIMA model in time series prediction and achieve improved prediction performance.

• 전자공학회논문지 IE
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• v.43 no.3
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• pp.41-48
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• 2006

In this paper, we propose a new active queue management (AQM) scheme by utilizing the predictability of the Internet traffic. The proposed scheme predicts future traffic input rate by using the auto-regressive (AR) time series model and determines the future congestion level by comparing the predicted input rate with the service rate. If the congestion is expected, the packet drop probability is dynamically adjusted to avoid the anticipated congestion level. Unlike the previous AQM schemes which use the queue length variation as the congestion measure, the proposed scheme uses the variation of the traffic input rate as the congestion measure. By predicting the network congestion level, the proposed scheme can adapt more rapidly to the changing network condition and stabilize the average queue length and its variation even if the traffic input level varies widely. Through ns-2 simulation study in varying network environments, we compare the performance among RED, Adaptive RED (ARED), REM, Predicted AQM (PAQM) and the proposed scheme in terms of average queue length and packet drop rate, and show that the proposed scheme is more adaptive to the varying network conditions and has shorter response time.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.39 no.1
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• pp.25-30
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• 2016

It is critical to forecast the maximum daily and monthly demand for power with as little error as possible for our industry and national economy. In general, long-term forecasting of power demand has been studied from both the consumer's perspective and an econometrics model in the form of a generalized linear model with predictors. Time series techniques are used for short-term forecasting with no predictors as predictors must be predicted prior to forecasting response variables and containing estimation errors during this process is inevitable. In previous researches, seasonal exponential smoothing method, SARMA (Seasonal Auto Regressive Moving Average) with consideration to weekly pattern Neuron-Fuzzy model, SVR (Support Vector Regression) model with predictors explored through machine learning, and K-means clustering technique in the various approaches have been applied to short-term power supply forecasting. In this paper, SARMA and intervention model are fitted to forecast the maximum power load daily, weekly, and monthly by using the empirical data from 2011 through 2013. $ARMA(2,\;1,\;2)(1,\;1,\;1)_7$ and $ARMA(0,\;1,\;1)(1,\;1,\;0)_{12}$ are fitted respectively to the daily and monthly power demand, but the weekly power demand is not fitted by AREA because of unit root series. In our fitted intervention model, the factors of long holidays, summer and winter are significant in the form of indicator function. The SARMA with MAPE (Mean Absolute Percentage Error) of 2.45% and intervention model with MAPE of 2.44% are more efficient than the present seasonal exponential smoothing with MAPE of about 4%. Although the dynamic repression model with the predictors of humidity, temperature, and seasonal dummies was applied to foretaste the daily power demand, it lead to a high MAPE of 3.5% even though it has estimation error of predictors.

• The Korean Journal of Applied Statistics
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• v.29 no.5
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• pp.873-885
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• 2016

Onions are grown in a few specific regions of Korea that depend on the climate and the regional characteristic of the production area. Therefore, when onion yields are to be estimated, it is reasonable to use a statistical model in which both the climate and the region are considered simultaneously. In this paper, using a spatial panel regression model, we predicted onion yields with the different weather conditions of the regions. We used the spatial auto regressive (SAR) model that reflects the spatial lag, and panel data of several climate variables for 13 main onion production areas from 2006 to 2015. The spatial weight matrix was considered for the model by the threshold value method and the nearest neighbor method, respectively. Autocorrelation was detected to be significant for the best fitted model using the nearest neighbor method. The random effects model was chosen by the Hausman test, and the significant climate variables of the model were the cumulative duration time of sunshine (January), the average relative humidity (April), the average minimum temperature (June), and the cumulative precipitation (November).

• Journal of Korean Society of Water and Wastewater
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• v.21 no.5
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• pp.601-607
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• 2007

In order to maintain constant residual chlorine in sedimentation basin, It is necessary to develop real time prediction model of residual chlorine considering water treatment plant data such as water qualities, weather, and plant operation conditions. Based on the operation data acquired from K water treatment plant, prediction models of residual chlorine in sediment basin were accomplished. The input parameters applied in the models were water temperature, turbidity, pH, conductivity, flow rate, alkalinity and pre-chlorination dosage. The multiple regression models were established with linear and non-linear model with 5,448 data set. The corelation coefficient (R) for the linear and non-linear model were 0.39 and 0.374, respectively. It shows low correlation coefficient, that is, these multiple regression models can not represent the residual chlorine with the input parameters which varies independently with time changes related to weather condition. Artificial neural network models are applied with three different conditions. Input parameters are consisted of water quality data observed in water treatment process based on the structure of auto-regressive model type, considering a time lag. The artificial neural network models have better ability to predict residual chlorine at sediment basin than conventional linear and nonlinear multi-regression models. The determination coefficients of each model in verification process were shown as 0.742, 0.754, and 0.869, respectively. Consequently, comparing the results of each model, neural network can simulate the residual chlorine in sedimentation basin better than mathematical regression models in terms of prediction performance. This results are expected to contribute into automation control of water treatment processes.

• International Commerce and Information Review
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• v.16 no.3
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• pp.73-96
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• 2014

The purpose of this research is to evaluate a short-term export demand forecasting model reflecting individual passenger vehicle brands and market characteristics by using Vector Autoregressive (VAR) models that are based on multivariate time-series model. The short-term export demand forecasting model was created by discerning theoretical potential factors that affect the short-term export demand of individual passenger vehicle brands. Quarterly short-term export demand forecasting model for two Korean small vehicle brands (Accent and Avante) were created by using VAR model. Predictive value at t+1 quarter calculated with the forecasting models for each passenger vehicle brand and the actual amount of sales were compared and evaluated by altering subject period by one quarter. As a result, RMSE % of Accent and Avante was 4.3% and 20.0% respectively. They amount to 3.9 days for Accent and 18.4 days for Avante when calculated per daily sales amount. This shows that the short-term export demand forecasting model of this research is highly usable in terms of prediction and consistency.

• Journal of Korea Water Resources Association
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• v.30 no.1
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• pp.45-54
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• 1997

The correct estimation of the daily or hourly urban water demand is required for the efficient management and operation of the water supply facilities. The prediction of water supply demand are regression model and time series method, the optimum ARIMA (Auto Regressive Integrated Moving Average) model was sought for the daily urban water demand estimation in this paper. The data used for this study were obtained from the city of Kwangju Korea. The raw data used in this study were rearranged 15, 30, 60, 90 days for the purpose of analysis. The statistical analysis was applied to the data to obtain the ARIMA model. As a result, the parameters determining the ARIMA model was obtained. The accuracy of the model was 2% of water supply. The developed model was found to be useful for the practical operation and management of the water supply facilities.