• 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.

• 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.

• 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.

• 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.

• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.49-62
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• 2022

Realized volatility is well known to have long memory, strong association with other global financial markets and interdependences among macroeconomic indices such as exchange rate, oil price and interest rates. This paper proposes autoencoder factor-augmented heterogeneous autoregressive (AE-FAHAR) model for realized volatility forecasting. AE-FAHAR incorporates long memory using HAR structure, and exogenous variables into few factors summarized by autoencoder. Autoencoder requires intensive calculation due to its nonlinear structure, however, it is more suitable to summarize complex, possibly nonstationary high-dimensional time series. Our AE-FAHAR model is shown to have smaller out-of-sample forecasting error in empirical analysis. We also discuss pre-training, ensemble in autoencoder to reduce computational cost and estimation errors.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.2 no.1
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• pp.18-27
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• 1990

The calmness inside a harbor plays an important role in the appropriate disposition of har-bor structures. However, it is not easy to get the accurate computational results because they are affected by many factors concerning with the wave transformation. Successful solution also depends on determining the boundary values appropriately. This paper presents the numerical model which is able to calculate wave heights inside a harbor It is based upon the time-dependent mild-slope equation involving wave refraction, diffraction, shoaling effect and reflection. In particular, the arbitrary reflectivity is used at the boundary in order to simulate the real harbor reflection condition. This numerical model is applied for Hupo-Harbor and its validities are investgated by comparing with experimental values from the hydraulic model test as well as computational results from Taka-yama's numerical model (1981). It is shown that the model results are in good agreement with results from hydraulic model and Takayama＇s.

• The Journal of the Korea Contents Association
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• v.12 no.8
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• pp.87-95
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• 2012

We propose that a subjective image quality assessment based on objective image quality factors in order to evaluate objectively preference of consumers. In other words, we define objective image quality factors which are easy to accept by manufacturers and they are composed of subjective image quality assessment questionnaires. Also, portrait image is selected by stimulus in order to persue easiness of evaluation for the general subjects. Throughout a subjective image quality assessment model, we evaluate recognition of image quality by consumers and analyze the effectiveness of correlation in terms of the final image quality preference. Analyzing the relationship between image quality factors, we can figure out the preferable image quality and confirm the positive effects on consumers' recognition of image quality. In the results, there are strong relationship between preference and color reproduction, dynamic range, noise, and resolution respectively. especially, the characteristic of portrait, there is high correlation between color reproduction and preference.

• The Journal of the Korea Contents Association
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• v.18 no.9
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• pp.34-43
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• 2018

The purpose of this study is to develop measurement program model for a human being-oriented product through the between the evaluation factors of portrait and general preferences of portraits. We added new items that are essential to the image evaluation by analysing previous studies. In this study, We identified the facial focus for the first step, and the portraits were evaluated by dividing it into objective and subjective image quality evaluation items. RSC Contrast and Dynamic Range were selected as the Objective evaluation items, and the numerical values of each image could be evaluation items, and the numerical values of each image could be evaluated by statistical analysis method. Facial Exposure, Composition, Position, Ratio, Out of focus, and Emotions and Color tone of image were selected as the Subjective evaluation items. In addition, a new face recognition algorithm is applied to judge the emotions, the manufacturer can get the information that they can analyze the people's emotion. The program developed to quantitatively and qualitatively compiles the evaluation items when evaluating portraits. The program that I developed through this study can be used an analysis program that produce the data for developing the evaluation model of the product more suitable to general users of imaging systems.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2002.05a
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• pp.987-993
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• 2002

최근 들어 전자상거래의 급속한 발달로 전 세계적으로 수송 물동량이 급격히 증대되고 있고, 이로 인해 택배사업이 대단히 활성화되고 있다. 출발지와 목적지가 서로 상이한 무수히 만은 수송 요구가 들어오면 수송 요구화물의 신속한 집배송을 위한 배차계획 및 수송계획을 세우는 것이 택배회사의 주요 업무이다. 이러한 배차 계획 및 수송 계획을 어떻게 수립하느냐에 따라 전체 수송비용뿐만 아니라 고객들의 서비스 수준에 상당한 영향을 미치게 된다. 그러나 이러한 운영적 차원에서의 의사결정 이전에 훨씬 중요하게 고려해야 할 내용이 택배네트워크의 설계 문제이다. 이러한 택배네트워크의 설계에는 터미널 개수 및 위치를 결정하는 전략적 문제와 영업소들을 터미널에 할당하는 전술적 문제로 구분될 수 있다. 현재 우리 국내에는 크고 작은 수많은 택배사업자들이 있으나, 그 중에서 비교적 규모가 큰 주요 택배회사들은 대부분 전국에 걸쳐 다수의 터미널을 설치하여 두고 수송화물의 집배송을 위한 물류거점으로 운영하고 있다. 이와 같은 터미널 위치 및 개수가 정해진 상태에서 전국에 걸쳐 분포되어 있는 영업소들을 어떤 터미널에 할당하여 처리되도록 하느냐의 여부는 수송비용 측면에서뿐만 아니라 고객들에 대한 서비스 측면에서 대단히 중요한 의사결정 중의 하나이다. 본 연구에서는 비용과 시간을 고려하여 전국에 걸쳐 분포되어 있는 영업소들을 어떤 터미널에 할당해야 하는지를 결정하기 위한 수리적 모형을 제시하고, 이에 대한 탐색적 해법을 제시하며, 국내의 택배회사 사례를 대상으로 모형을 적용해 보고자 한다.무가 많이 발생하는 유통 분야의 프랜차이즈 산업을 대상으로 기업정보시스템 구현 및 경쟁력 강화를 뒷받침하기 위해서, 기업간 프로세스 협업(collaboration) 부분의 데이터 및 서식, 이를 취급하는 기능과 프로세스에 대란 분석을 통해 업무 프로세스 모델링 방법론과 관련한 모델링 지침 및 메타모델을 이용한 표준 업무 프로세스 모델을 개발하여 기업간 업무 프로세스 표준화에 대한 체계적인 관리에 대한 방안을 연구하고자 한다.의Bullwhip effect를 감소시킬 수 있는 장점이 있다. 동시에 이것은 향후 e-Business 시스템 구축을 위한 기본 인프라 역할을 수행할 수 있게 된다. 많았고 년도에 따른 변화는 보이지 않았다. 스키손상의 발생빈도는 초기에 비하여 점차 감소하는 경향을 보였으며, 손상의 특성도 부위별, 연령별로 다양한 변화를 나타내었다.해가능성을 가진 균이 상당수 검출되므로 원료의 수송, 김치의 제조 및 유통과정에서 병원균에 대한 오염방지에 유의하여야 할 것이다. 확인할 수 있었다. 이상의 결과에 의하면 고농도의 유기물이 함유된 음식물쓰레기는 Hybrid Anaerobic Reactor (HAR)를 이용하여 HRT 30일 정도에서 충분히 직접 혐기성처리가 가능하며, 이때 발생된 $CH_{4}$를 회수하여 이용하면 대체에너지원으로 활용 가치가 높은 것으로 판단된다./207), $99.2\%$(238/240), $98.5\%$(133/135) 및 $100\%$ (313)였다. 각