• Communications for Statistical Applications and Methods
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• v.25 no.6
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• pp.659-671
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• 2018

In this study, we consider the extension of the heterogeneous autoregressive (HAR) model for realized volatility by incorporating a neural network (NN) structure. Since HAR is a linear model, we expect that adding a neural network term would explain the delicate nonlinearity of the realized volatility. Three neural network-based HAR models, namely HAR-NN, $HAR({\infty})-NN$, and HAR-AR(22)-NN are considered with performance measured by evaluating out-of-sample forecasting errors. The results of the study show that HAR-NN provides a slightly wider interval than traditional HAR as well as shows more peaks and valleys on the turning points. It implies that the HAR-NN model can capture sharper changes due to higher volatility than the traditional HAR model. The HAR-NN model for prediction interval is therefore recommended to account for higher volatility in the stock market. An empirical analysis on the multinational realized volatility of stock indexes shows that the HAR-NN that adds daily, weekly, and monthly volatility averages to the neural network model exhibits the best performance.

• The Korean Journal of Applied Statistics
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• v.30 no.3
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• pp.323-334
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• 2017

We note that the dynamics of realized volatilities (RVs) are near the boundary between stationarity and non-stationarity because RVs have persistent long-memory and are often subject to fairly large outlying values. To forecast realized volatility, we consider a new method that adaptively use models with and without unit root according to the abnormality of observed RV: heterogeneous autoregressive (HAR) model and the Integrated HAR (IHAR) model. The resulting method is called the IHAR-O-HAR method. In an out-of-sample forecast comparison for the realized volatility datasets of the 3 major indexes of the S&P 500, the NASDAQ, and the Nikkei 225, the new IHAR-O-HAR method is shown superior to the existing HAR and IHAR method.

• The Korean Journal of Applied Statistics
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• v.34 no.2
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• pp.239-254
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• 2021

This paper studies time series analysis with estimation and forecasting for Korean COVID-19 confirmed cases, based on the approach of a heterogeneous autoregressive (HAR) model with two-piece t (TP-T) distributed errors. We consider HAR-TP-T time series models and suggest a step-by-step method to estimate HAR coefficients as well as TP-T distribution parameters. In our proposed step-by-step estimation, the ordinary least squares method is utilized to estimate the HAR coefficients while the maximum likelihood estimation (MLE) method is adopted to estimate the TP-T error parameters. A simulation study on the step-by-step method is conducted and it shows a good performance. For the empirical analysis on the Korean COVID-19 confirmed cases, estimates in the HAR-TP-T models of order p = 2, 3, 4 are computed along with a couple of selected lags, which include the optimal lags chosen by minimizing the mean squares errors of the models. The estimation results by our proposed method and the solely MLE are compared with some criteria rules. Our proposed step-by-step method outperforms the MLE in two aspects: mean squares error of the HAR model and mean squares difference between the TP-T residuals and their densities. Moreover, forecasting for the Korean COVID-19 confirmed cases is discussed with the optimally selected HAR-TP-T model. Mean absolute percentage error of one-step ahead out-of-sample forecasts is evaluated as 0.0953% in the proposed model. We conclude that our proposed HAR-TP-T time series model with optimally selected lags and its step-by-step estimation provide an accurate forecasting performance for the Korean COVID-19 confirmed cases.

• Korean journal of applied entomology
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• v.49 no.4
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• pp.393-400
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• 2010

The parasitism, development time, hatchability, and progeny production of Trichogramma chilonis(TC) females developed in eggs of Helicoverpa assulta (HAs), Cadra cautella (CC), and Helicoverpa armigera (HAr), respectively, were compared with those developed in reciprocal eggs at constant temperatures of $25{\pm}2^{\circ}C$ and relative humidity of 50~70% under 16L-8D. Developmental performances of TC reared in each of the three hosts on the following hosts(host tested) appeared differently, and were affected most by the size of the proceeding hosts and test host. Among the parameters parasitism and progeny production were affected more than others. Parasitism was significantly different between the treatments, lowest in CC-HAr($10.1{\pm}2.05%$) and highest in HAr-HAs($47.0{\pm}2.09%$), and the hatchability showed similar pattern. Development time as well was shortest in the CC-HAr where previous host is smallest and test host is biggest. The highest number of progeny production of TC was observed in HAr-HAs($93.9{\pm}6.87$ wasps), and the lowest was CC-HAs($18.4{\pm}6.36$ wasps).

• The Korean Journal of Applied Statistics
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• v.36 no.4
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• pp.295-307
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• 2023

The heterogeneous autoregressive (HAR) model is a simple linear model that is commonly used to explain long memory in the realized volatility. However, as realized volatility has more complicated features such as conditional heteroscedasticity, leverage effect, and volatility clustering, it is necessary to extend the simple HAR model. Therefore, to better incorporate the stylized facts, we propose a threshold HAR model with GARCH errors, namely the THAR-GARCH model. That is, the THAR-GARCH model is a nonlinear model whose coefficients vary according to a threshold value, and the conditional heteroscedasticity is explained through the GARCH errors. Model parameters are estimated using an iterative weighted least squares estimation method. Our simulation study supports the consistency of the iterative estimation method. In addition, we show that the proposed THAR-GARCH model has better forecasting power by applying to the realized volatility of major 21 stock indices around the world.

• The Korean Journal of Applied Statistics
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• v.29 no.7
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• pp.1213-1229
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• 2016

Cho and Shin (2016) recently demonstrated that an integrated HAR model has a forecast advantage over the HAR model of Corsi (2009). Recalling that realized volatilities of financial assets have asymmetries, we add a leverage term to the integrated HAR model, yielding the LIHAR model. Out-of-sample forecast comparisons show superiority of the LIHAR model over the HAR and IHAR models. The comparison was made for all the 20 realized volatilities in the Oxford-Man Realized Library focusing specially on the DJIA, the S&P 500, the Russell 2000, and the KOSPI. Analysis of the realized volatility data sets reveal apparent long-memory and asymmetry. The LIHAR model takes advantage of the long-memory and asymmetry and produces better forecasts than the HAR, IHAR, LHAR models.

• Journal of Korea Multimedia Society
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• v.25 no.8
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• pp.1049-1058
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• 2022

HAR(Human Action Recognition) such as anomaly and object detection has become a trend in research field(s) that focus on utilizing Artificial Intelligence (AI) methods to analyze patterns of human action in crime-ridden area(s), media services, and industrial facilities. Especially, in real-time system(s) using video streaming data, HAR has become a more important AI-based research field in application development and many different research fields using HAR have currently been developed and improved. In this paper, we propose and analyze a deep-learning-based HAR that provides more efficient scheme(s) using an intelligent AI models, such system can be applied to media services using RGB video streaming data usage without feature extraction pre-processing. For the method, we adopt Slowfast based on the Deep Neural Network(DNN) model under an open dataset(HMDB-51 or UCF101) for improvement in prediction accuracy.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.11 no.1
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• pp.321-344
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• 2017

Smart homes are the new generation of homes where pervasive computing is employed to make the lives of the residents more convenient. Human activity recognition (HAR) is a fundamental task in these environments. Since critical decisions will be made based on HAR results, accurate recognition of human activities with low uncertainty is of crucial importance. In this paper, a novel HAR method based on a difference of convex programming (DCP) problem is represented, which manages to handle uncertainty. For this purpose, given an input sensor data stream, a primary belief in each activity is calculated for the sensor events. Since the primary beliefs are calculated based on some abstractions, they naturally bear an amount of uncertainty. To mitigate the effect of the uncertainty, a DCP problem is defined and solved to yield secondary beliefs. In this procedure, the uncertainty stemming from a sensor event is alleviated by its neighboring sensor events in the input stream. The final activity inference is based on the secondary beliefs. The proposed method is evaluated using a well-known and publicly available dataset. It is compared to four HAR schemes, which are based on temporal probabilistic graphical models, and a convex optimization-based HAR procedure, as benchmarks. The proposed method outperforms the benchmarks, having an acceptable accuracy of 82.61%, and an average F-measure of 82.3%.

• Journal of the Korea Convergence Society
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• v.11 no.5
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• pp.9-17
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• 2020

Human activity recognition(HAR) using smartphones is a hot research topic in computational intelligence. Smartphones are equipped with a variety of sensors. Fusing the data of these sensors could enable applications to recognize a large number of activities. However, these devices have fewer resources because of the limited number of sensors available, and feature selection and classification methods are required to achieve optimal performance and efficient feature extraction. This paper proposes a smartphone-based HAR scheme according to these requirements. The proposed method in this paper extracts time-domain features from acceleration sensors, gyro sensors, and barometer sensors, and recognizes activities with high accuracy by applying KDA and SVM. This approach selects the most relevant feature of each sensor for each activity. Our comparison results shows that the proposed system outperforms previous smartphone-based HAR systems.

• Environmental and Resource Economics Review
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• v.30 no.4
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• pp.535-555
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• 2021

This study empirically analyzes the effects of international oil prices on domestic stock market volatility. The data used for the analysis are 10-minute high-frequency data of the KOSPI index and WTI futures price from January 2, 2015, to July 30, 2021. For using the high-frequency data, a heterogeneous autoregression (HAR) model is employed. The analysis model utilizes the advantages of high frequency data to observe the impact of international oil prices through realized volatility, realized skewness, and kurtosis as well as oil price return. In the estimation, the Box-Cox transformation is applied in consideration of the distribution of realized volatility with high skewness. As a result, it finds that the daily return fluctuation of the WTI price has a statistically significant positive (+) effect on the volatility of the KOSPI return. However, the volatility, skewness, and kurtosis of the WTI return do not appear to affect the volatility of the KOSPI return. This result is believed to be because the volatility of the KOSPI return reflects the daily change in the WTI return, but does not reflect the intraday trading behavior of investors.