• The Korean Journal of Applied Statistics
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• 제20권3호
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• pp.487-497
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• 2007

As is pointed out by Gourieroux (1997), the volatility effects in financial time series vary according to the signs of the return rates and therefore asymmetric Threshold-GARCH (TGARCH, henceforth) processes are natural extensions of the standard GARCH toward asymmetric volatility modeling. For preliminary detection of asymmetry in volatility, we suggest graphs of squared-log-returns for various financial time series including KOSPI, KOSDAQ and won-Euro exchange rate. Next, asymmetric TGARCH(1,1) model fits are provided in comparisons with standard GARCH(1.1) models.

• Journal of Korean Society of Transportation
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• 제21권4호
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• pp.57-66
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• 2003

Because the Logit model easily calculates probabilities for choice alternatives and estimates parameters for explanatory variables, it is widely used as a traffic mode choice model. However, this model includes an assumption which is independently and identically distributed to the error component distribution of the mode choice utility function. This paper is a study on the estimation of the Heteroscedastic Logit Model. which mitigates this assumption. The purpose of this paper is to estimate a Logit model that more accurately reflects the mode choice behavior of passengers by resolving the homoscedasticity of the model choice utility error component. In order to do this, we introduced a scale factor that is directly related to the error component distribution of the model. This scale factor was defined so as to take into account the heteroscedasticity in the difference in travel time between using public transport and driving a car, and was used to estimate the travel time parameter. The results of the Logit Model estimation developed in this study show that Heteroscedastic Logit Models can realistically reflect the mode choice behavior of passengers, even if the difference in travel time between public and private transport remains the same as passenger travel time increases, by identifying the difference in mode choice probability of passengers for public transportation.

• International Area Studies Review
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• 제20권1호
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• pp.3-22
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• 2016

In this study, I examine mutual shock spillover effects among interest rate differences, won-dollar foreign exchange change rates, and stock market returns in Korea during the daily sample period from the beginning of 1995 to the October 16, 2015, using the multivariate GARCH (generalized autoregressive conditional heteroscedasticity) BEKK (Baba-Engle-Kraft-Kroner) model framework. Major findings are as follows. Throughout the 6 model estimation results of variance equations determining return spillovers covered from symmetric and asymmetric models of total sample period and two crisis sub-sample periods composed of Korean FX Crisis Times and Global Financial Crisis Times, shock spillovers are shown to exist mainly from stock market return shocks. Stock market shocks including down-shocks from the asymmetric models are shown to transfer to those other two markets most successfully. Therefore it is most important to maintain stable financial markets that a policy design for stock market stabilization such as mitigating stock market volatility.

• The Korean Journal of Applied Statistics
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• 제34권5호
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• pp.823-835
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• 2021

Identification of factors influencing regional population is critical for establishing government's population policies as well as for improving residents' social, economic and cultural well-being in the region. In this study we analysed the data from 2019 Population Housing Survey in Korea to identify the factors affecting the population size in each of the three regions: Seoul, metropolitan cities, and provincial regions. We applied a Bayesian quantile regression to account for asymmetry and heteroscedasticity of data. The analysis results showed that the effects of factors vary greatly between the three regions of Seoul, metropolitan cities, and provincial regions as well as between sub regions within the same region. These results suggest that population-related variables have very heterogeneous characteristics from region to region and therefore it is important to establish customized population policies that suit regional characteristics rather than uniform population policies that apply to every region.

• The Korean Journal of Franchise Management
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• 제13권4호
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• pp.39-48
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• 2022

Purpose: COVID-19 has negatively influenced the financial performance of restaurant firms. Previous literature suggests that the franchising strategy effectively helps restaurant firms recover from difficult business conditions through various methods for expanding business size and enhancing business efficiency. According to risk-sharing theory, restaurant franchisors may minimize operational risks by sharing the risks with their franchisees. For instance, restaurant franchisors could generate more stable cash flow using franchise fees from their franchisees. However, research on the effect of franchise's risk reduction factor on business performance during pandemic is scarce. Thus, this study aims to examine the positive moderating effect of franchising between COVID-19 and restaurants' financial performance. Research design, data, and methodology: Panel data including financial information and franchising status of restaurant firms were collected for analysis. In order to control for unobserved firm-specific factors, generalized least squared estimation in fixed effects model was conducted. Huber-White robust standard errors were used to deal with heteroscedasticity issues. Results: It was found that COVID-19 pandemic has a negative effect on the restaurants' financial performance such as ROA (return on assets), ROE (return on equity), and PM (profit margins), which confirms the findings from existing literature. More importantly, results show that the degree of franchising has a positive moderating effect on the relationship between COVID-19 and financial performance of restaurant firms. This suggests that more active engagement in franchising may decrease negative impacts of COVID-19 on the restaurants' financial performance. Conclusions: The study supports existing literature related to risk-sharing theory, by confirming that pandemics, such as COVID-19, negatively affect financial performance of the restaurants. Furthermore, it was found that franchising strategy can help lessen negative impacts of pandemics on the firm performance. These findings can contribute to the franchise and restaurant management literature by suggesting the role of franchising in reducing business risks, thereby positively affecting financial performance. Moreover, this study offers business managers of franchisors and franchisees insights for utilizing franchising in restaurant risk management. Policymakers may also gain information on aiding restaurant firms during global crisis, such as COVID-19.

• 한국노년학
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• 제29권4호
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• pp.1413-1425
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• 2009

The objective of the work is to analyze the factors affecting on changes in filial piety responsibility expectation. For the analysis, this study focuses on the two factors-aging effect and cohort effect. This work analyzes the 4 wave Hallym Aging Panel Data with random intercept model. In the study cohort is divided by the criteria of birth year 1940. and the former cohort is called colony-war cohort and the latter cohort is called industrialization-democratization cohort. The results are in following. First, older cohort shows higher filial piety responsibility expectation score than younger cohort. Second, age shows no relationship with filial responsibility expectation score. Third, male and resident in rural area shows higher score. Forth income, year of schooling, and subjective health show negative relationship with responsibility score.

• Korean Business Review
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• 제12권
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• pp.119-138
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• 1999

In this study, we empirically investigate the relations between trading volumes and our proxies for information flows and differences of opnion. Econometric methods to analyze the relations in the equity and KOSPI 200 futures markets include Generalized Method of Moment(GMM) and Generalized Autoregressive Conditional Heteroscedasticity(GARCH) models. Major findings from our empirical analyses are summarized as follows; (i) Trading volume in both the equity and KOSPI 200 futures markets varies positively with proxies for information flows. We find that trading volumes in both markets are closely related to firm-specific information rather than market-wide information. (ii) Trading volumes in the equity and KOSPI 200 futures market have positive relations with our proxies for differences of opinion. (iii) Day-of-the-week effect is clear in both markets. Trading volumes in both the equity and KOSPI 200 futures markets tend to be relatively low early and late in the week. (IV) Futures contract life-cycle effect is clear. In other words, futures trading volume increses in the period around contract expiration. (V) In addition, ARCH effect on trading volumes is reported significant enough to take into account. The disturbance of trading volumes in both markets seem to be conditional heteroscedastic.

• Journal of Korean Society of Transportation
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• 제32권4호
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• pp.347-356
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• 2014

Passenger cars occupy about 74% among registered vehicles in Korea and the ratio of transportation mode sharing is approximately 60% in the passenger transport part. However, there is no statistics related to travel characteristics of passenger cars, and official statistics are estimated from O/D travel data. Thus, National Transportation DataBase Center in KOTI has attempted to construct various statistical data through Korea Vehicle Use Survey. Based on these data, Analysis of Variance (ANOVA) was conducted to investigate the differences in travel characteristics of each analysis group. As a result, all of the explanatory variables(weekday vs. weekend, metropolitan area vs. non-metropolitan area, male vs. female, commute time vs. other time, routine purpose vs. non-routine purpose) were found to be different across households. In addition, travel distances per trip of weekday, metropolitan area, male, commute time, and non-routine purpose are longer than the opposite variables. Also, the trip distances of small size(1 to 2 persons) households are shorter compared to large size(more than 5 persons) households.

• Journal of Korea Water Resources Association
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• 제44권2호
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• pp.125-134
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• 2011

The paper is to estimate willingness-to-pay (WTP) for residential water quality improvement in Busan, using non-parametric approach. There are several significant advantages of non-parametric approach, compared to parametric methods. That is, no probability distribution assumption is necessary so that there are no needs to assume or test goodness of fit, model specification and heteroscedasticity statistically. For the reliability and the validity of contingent valuation method a survey was conducted for 665 respondents, who were sampled by stratified random sampling method, by personal interview method. The result of mean WTP for residential water quality improvement in Busan was estimated to be 3,190 won to 3,331 won per month per household, while median WTP being 1,750 won. Provided that our sample is broadly representative of the Busan's population, an estimate of the annual aggregated benefit of residential water improvement for all Busan households is approximately 50.2 billion won in case of mean WTP or 27.5 billion won in case of median WTP.

• Journal of Korea Water Resources Association
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• 제43권10호
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• pp.893-909
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• 2010

The purpose of this study is to consider the interaction between surface water and groundwater in basin scale by developing TANK_GS model. The soil moisture structure of tank model with 3 tanks is improved to simulate the appropriate stream-aquifer interactions. Maximum likelihood method is applied to calibrate parameters with variance functions to deal with heteroscedasticity of residuals. The parameters of improved TANK_GS model and variance function are simultaneously estimated by Simulated Annealing method, a global optimization technique. The results of TANK-GE are compared to those of the SWMM-GE model which had been developed to consider the stream-aquifer interactions. The new TANK_GS model and SWMM-GE model are applied to Gapcheon basin, which belongs to Geum River basin. TANK_GS model showed better model performance compared to the original TANK model and characterized the relationship of stream-aquifer interactions as satisfactorily as the SWMM-GE model. The sustainable groundwater yield can be estimated for the regional water resources planning using the TANK_GS model