• Title/Summary/Keyword: Index value

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Estimation of VaR Using Extreme Losses, and Back-Testing: Case Study (극단 손실값들을 이용한 VaR의 추정과 사후검정: 사례분석)

  • Seo, Sung-Hyo;Kim, Sung-Gon
    • The Korean Journal of Applied Statistics
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    • v.23 no.2
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    • pp.219-234
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    • 2010
  • In index investing according to KOSPI, we estimate Value at Risk(VaR) from the extreme losses of the daily returns which are obtained from KOSPI. To this end, we apply Block Maxima(BM) model which is one of the useful models in the extreme value theory. We also estimate the extremal index to consider the dependency in the occurrence of extreme losses. From the back-testing based on the failure rate method, we can see that the model is adaptable for the VaR estimation. We also compare this model with the GARCH model which is commonly used for the VaR estimation. Back-testing says that there is no meaningful difference between the two models if we assume that the conditional returns follow the t-distribution. However, the estimated VaR based on GARCH model is sensitive to the extreme losses occurred near the epoch of estimation, while that on BM model is not. Thus, estimating the VaR based on GARCH model is preferred for the short-term prediction. However, for the long-term prediction, BM model is better.

A Study on Characters of Yangdorak in Climacteric Women (갱년기 증후군 여성의 양도락 특성에 관한 연구)

  • Kim, Eun-Sook;Lee, Jin-Moo;Lee, Chang-Hoon;Cho, Jung- Hoon;Jang, Jun-Bock;Lee, Kyung-Sub
    • The Journal of Korean Obstetrics and Gynecology
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    • v.21 no.4
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    • pp.159-168
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    • 2008
  • Purpose: The purpose of this study is to investigate the characters of Yangdorak in climacteric women. Methods: We analyzed the measurement value of Yangdorak on 37 climacteric women, aged 45-60 years. The patient's symptoms were assessed by modified Kupperman's index. Statistical analysis was performed using SPSS 13.0 for windows program. one-sample t-test. pearson correlation coefficient. Results: The results were as follows. 1. The average value of Yangdorak in 37 patients with climacteric women was 29.02$\pm$16.85. 2. According to the comparison of mean value with the each meridian value of Yangdorak. H1, H5 is high, F2, F3, F5 is low significantly. 3. The number of Pyesaek is more than Gyeokcha. 4. The Yangdorak value(F2) had significant correlation with modified Kupperman's index. Conclusion: The result suggests that Yangdorak values in H1, H5, F2, F3, F5 are related to climacteric. Further study on the yangdorak and climacteric syndrome measured by Kupperman's index is recommended.

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Factors of the Happiness of Youth Generations by Work-Life Balance: A Cross-National Comparison Utilizing the Better Life Index and World Value Survey (청년세대의 일-삶 균형 수준과 행복 요인: OECD '더 나은 삶의 지수(Better Life Index)'와 '세계가치관조사(World Value Survey)'를 활용한 다국가 비교)

  • Park, Mee Sok;Kim, Mi Young;Kim, Kyoung-A;Chun, JeeWon
    • Journal of Family Resource Management and Policy Review
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    • v.23 no.2
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    • pp.79-97
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    • 2019
  • This study aimed for in-depth observation of the status quo of the youth generation's happiness utilizing the Better Life Index and the World Value Survey. To serve this purpose, the study selected 11 of the Organization for Economic Cooperation and Development(OECD) member countries (Australia, Estonia, Germany, Japan, Korea, Mexico, New Zealand, Poland, Sweden, Turkey, United States) that overlapped with the subject countries of the World Value Survey. The results of the observation first revealed that among the work-life balance levels of youth generations from across the 11 studied countries, the level for Korean youth was in a very poor state. Second, the happiness level of Korean youth also sat among the bottom ranks, with the aspects of politics, friendship, and career casting a heavy influence on importance to life; specifically, the youth generations of Turkey and Germany showed high levels of life purpose, while Korean youth displayed outstanding results in the challenge aspect. The third finding of this study reported that family, religion, power, benevolence, and challenge were commonly related to the happiness level of youth generations in countries with a higher work-life balance. The results of this study are expected to contribute to the much needed attention and support for improving the happiness level of the Korean youth generation, who will eventually play the leading role in our future society.

The Impact which An cultural environment along a social stratum has on Clothes taste and Sense of value Formation (사회계층에 따른 문화적 환경이 취향과 가치관 형성에 미치는 영향)

  • ;Akinori Ogimura
    • Journal of the Korea Fashion and Costume Design Association
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    • v.4 no.3
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    • pp.89-95
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    • 2002
  • Object of this study presents marketing of new market segmentation as what I classify a social stratum, and analyze sense of value about each social class clothes and a taste, but is. The study way used a questionnaire as an investigation study way, and I did execution from September to October in 1999, and the investigation object picked up an any table with the woman university student who lived in Seoul and did investigation, and analysis targeted total 550 people. I used a measurement item of economic capital and cultural capital as a classification item of a social stratum and selected a dwelling, a kind of property, an annual salary of parents as an index of economic capital. Presentation held an occupation of parents, scholarship, culture activity as an index of cultural capital. It is social stratum structure an occupation arranges in 12 job categories by, for your reference, I do a social orbit of the P. Bourdieu which is a French sociologist and an index of inheritance cultural capital, and having set up eight phases of evaluation, and to do a Y, Cultural Capital with X with economic capital. Sense of value about clothes and attitude selected social value, aesthetic appreciation enemy value, authority a few value in sense of value of the 6 type that E. Spranger(1922) presented, and a proposal did type in 3 about clothes. The measurement way used a 11 question item and measured I with five phases of Likert-type criteria and executed factors analysis by main ingredient analysis and varimax revolution law. I named a more than inherent 1 with the liver which was social man, aesthetic appreciation enemy man, an authority enemy with a basis. The results are as follows : People of the group which they belong to the same social class, and there is have a similar taste and select a similar product, and scholarship and an occupation of parents please lay a taste of children and sense of value, a hierarchical difference of attitude too and do it.

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Automatic Determination of Matching Window Size Using Histogram of Gradient (그레디언트 히스토그램을 이용한 정합 창틀 크기의 자동적인 결정)

  • Ye, Chul-Soo;Moon, Chang-Gi
    • Korean Journal of Remote Sensing
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    • v.23 no.2
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    • pp.113-117
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    • 2007
  • In this paper, we propose a new method for determining automatically the size of the matching window using histogram of the gradient in order to improve the performance of stereo matching using one-meter resolution satellite imagery. For each pixel, we generate Flatness Index Image by calculating the mean value of the vertical or horizontal intensity gradients of the 4-neighbors of every pixel in the entire image. The edge pixel has high flatness index value, while the non-edge pixel has low flatness index value. By using the histogram of the Flatness Index Image, we find a flatness threshold value to determine whether a pixel is edge pixel or non-edge pixel. If a pixel has higher flatness index value than the flatness threshold value, we classify the pixel into edge pixel, otherwise we classify the pixel into non-edge pixel. If the ratio of the number of non-edge pixels in initial matching window is low, then we consider the pixel to be in homogeneous region and enlarge the size of the matching window We repeat this process until the size of matching window reaches to a maximum size. In the experiment, we used IKONOS satellite stereo imagery and obtained more improved matching results than the matching method using fixed matching window size.

Evolution and Identification of Thermo-Tolerant Hybrids in the Silkworm, Bombyx mori L.

  • Begum, A.Naseema;Rekha, M.;Basavaraja, H.K.;Ahsan, M.M.
    • International Journal of Industrial Entomology and Biomaterials
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    • v.6 no.2
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    • pp.171-178
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    • 2003
  • Four thermo-tolerant lines of silkworm, Bombyx mori, (L.) viz., A HT, B HT (Chinese type) and F HT, G HT (Japanese type) were evolved by utilizing the breeding resource material (identified from initial screening at a temperature of 31 ${\pm} 1^{\circ}C$ and relative humidity 85 ${\pm}$ 5%) through conventional breeding. These tolerant lines were crossed with productive breeds and forty four hybrids were evaluated on eight economic traits by the Multiple Trait Evaluation Index Method. Ten hybrids were short-listed based on the average evaluation index value larger than 50 for eight economic traits studied. The identified ten hybrids recorded higher index values (> 50) for most of the traits studied. Single hybrid G ${\times}$ CSR12 indicated average index value larger than 50 for six traits viz., pupation number (58), cocoon weight (67), shell weight (65), average filament length (74), raw silk % (69), reelability % (51) except for shell ratio % (41). The standard deviation of the cocoons in the above hybrid was 8.41 in the hybrid cocoon length and width measurement. However, two selected hybrids viz., A ${\times}$ CSR5 and G ${\times}$ CSR13 recorded average index value larger than 50 for all the traits viz., pupation number (57, 60), cocoon weight (50, 54), shell weight (56, 57), shell ratio percentage (59, 53), average filament length (55, 60), raw silk percentage (63, 67) and reelability percentage (53, 53). The standard deviation of the cocoons in the two selected hybrids viz., A ${\times}$ CSR5 and G ${\times}$ CSR13 was 8.41 and 8.06 respectively in the cocoon length and width measurement.

A Study on the Assessment of the Contamination by Acid Mine Drainage in Abandoned Coal Mines (국내폐탄광의 산성폐수 오염도 평가에 관한 연구)

  • 최우진
    • Journal of Korea Soil Environment Society
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    • v.2 no.3
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    • pp.31-38
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    • 1997
  • Temporal and spatial comparisons of acid mine drainage contaminated waters are difficult because of the complex physico-chemical nature of the pollutant. In the present study, an acid mine drainage index has been developed and evaluated for the assessment of surface waters. AMD index is calculated using a modified arithmetic weighted index using seven parameters which are most indicative of AMD contamination, i. e. pH value, sulphate, iron, zinc, aluminum, copper and manganese. Weighting is used to express the relative indicator value of each parameter. The proposed AMD index is used to quantify contamination from acid mine drainage over ten different old mine sites and assess the degree of impact on surface on surface waters. As a result of AMD evaluation, the Sukbong Mine located near the Moonkyung province showed lowest AMD value indicating the worst acid mine drainage quality. In overall, Youngdong mine sites showed higher contaimination compared to the other mine sites including Youngsuh, Choongbu, Suhbu and Nambu area.

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Quality Score Index as a Criterion for Wheat Quality (품질평점지수(品質評點指數)에 의한 소맥품질(小麥品質)의 평가방법(評價方法))

  • Ryu, In-Soo;Shin, Hyun-Kuk;Bae, Sung-Ho
    • Applied Biological Chemistry
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    • v.21 no.3
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    • pp.193-196
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    • 1978
  • Wheat quality score index was proposed as a new criterion of wheat_quality for evaluation of the laboratory testing value such as milling rate (Xm), flour ash content (Xa), flour protein content (Xp) and sedimentation value (Xs). 1) Wheat quality score index was expressed as follows; Milling score index (MSI) $=2.3X_m-72.4X_a$ Protein score index (PSI) =$5.2X_p+0.9X_{psi}$ Composite quality score index (QSI) =$0.63X_{msi}+0.37X_{psi}$ 2) The samples with the more than 100 of MSI would be the good milliability, and the samples with more than 100 of PSI would be the good bread making properties, while that with less than 100 of PSI be good pastry type properties. Whereas most of the samples with higher value of QSI would be related to the good milliability and good bread making properties. 3) MSI, PSI and QSI were significantly correlated to the each related quality components.

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A Study on Sensitivity Analysis by PDF in T7F Model (T7F Model에서 차량군분산계수변화에 따른 민감도분석에 관한 연구)

  • Hwang, Eui-Jin
    • Journal of Korean Society for Geospatial Information Science
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    • v.14 no.1 s.35
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    • pp.57-63
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    • 2006
  • The purpose of this study is to correct data on 3 intersection ranging from Kwangchun INT. to Nongsung INT. by the means of VTR recording and site survey and to measure the responsiveness of performance index by diversifying the platoon dispersion factor in signal progression simulation. The results are as follows : 1. The value of platoon dispersion factor was 0.28-0.33. The value in up stream is lower than that of in down stream even on the same intersection. 2. The platoon index showed big changes, though performance index didn't according to platoon dispersion factor. Therefore the value of platoon dispersion factor which is inner variable in T7F can be fixed for 0.34. 3. There was only little divergence in performance index changes according to platoon dispersion factor in designing the progression or T7F model.

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Development and Application of an Evaluation Model for Biotope Appraisal in terms of Species and Biotope Preservation (종과 비오톱 보전을 위한 가치평가 모형 개발 및 적용)

  • Cho, Hyun-Ju;Lee, Hyun-Taek;SaGong, Jung-Hee;Ra, Jung-Hwa
    • Journal of the Korean Society of Environmental Restoration Technology
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    • v.13 no.5
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    • pp.59-80
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    • 2010
  • This research This research aims at developing systemic evaluation model in terms of biotope preservation through reports, literatures, and expert survey analysis by implementing biotope structure analysis in area level with selecting Hyunpoong and Yuga-myeon, Dalseong county, Daegu metropolitan city as a site. First of all, as a result of biotope type classification of research site, biotope type groups are classified into total 13, and its biotope types are divided into total 61. Also, as a result of literature analysis, total 18 items are drawn such as diversity of biotope typical species as a index item to assess the preservation value of biotope, and the first evaluation index are divided into 10 and the second ones are divided into 8 according to characteristic of index items. As a result of expert survey analysis, All 10 index items, first evaluation index, show high importance average (above 4.7). As a result of implementation of main cause for categorizing evaluation index by characteristic, there are 3 factors such as 'obstructive factor.' Based on above survey analysis result, as a result of estimating the weight of each item, 'restoration factor' showed the highest, 3.4541, but 'factor of habitat stability' showed 3.1468, which is the lowest The systemic value evaluation was set by comprehensively analyzing these results. As a result of biotope preservation value evaluation through applying research site, total 19 types which are abundant in vegetation are classified into I class, 12 types in II class, 5 types in III class, 10 types in IV class, and 15 types in V class respectively. Lastly, as a result of second evaluation, it is analyzed that there are 17 special meaningful space to preserve species and biotope(1a, 1b) and 61 meaningful space to preserve species (2a, 2b, 2c).