• Journal of the Earthquake Engineering Society of Korea
• /
• v.28 no.5
• /
• pp.285-294
• /
• 2024

Seismic fragility curves present the conditional probability of damage to target structures due to external seismic load and are widely used in various ways. When constructing such a seismic fragility curve, it is essential to consider various types and numbers of ground motions. In general, the earthquake occurrence characteristics of an area where the target structure of the seismic fragility curve exists are analyzed, and based on this, appropriate ground motions are selected to derive the seismic fragility curve. If the number of selected ground motions is large, the diversity of ground motions is considered, but a large amount of computational time is required. Conversely, if the number of ground motions is too small, the diversity of ground motions cannot be considered, which may distort the seismic fragility curve. Therefore, this study analyzed the relationship between the number of ground motions considered when deriving the seismic fragility curve and the parameters of the seismic fragility curve. Using two example structures, numerical analysis was performed by selecting a random number of ground motions from a total of two hundred, and a seismic fragility curve was derived based on the results. Analysis of the relationship of the parameter of the seismic fragility curve and the number of selected ground motions was performed. As the number of ground motions considered increases, uncertainty in ground motion selection decreases, and when deriving seismic fragility curves considering the same number of ground motions, uncertainty increases relatively as the degree of freedom of the target structure increases. However, considering a relatively large number of ground motions, uncertainty appeared insignificant regardless of increased degrees of freedom. Finally, it is possible that the increase in the number of ground motions could lower the epistemic uncertainty and thus improve the reliability of the results.

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