• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.29-43
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• 2012

Financial data such as stock index returns and exchange rates have the properties of heavy tail and asymmetry compared to normal distribution. When we estimate VaR using the GARCH model (with the conditional return distribution of normal) it shows the tendency of the lower estimation and clustering in the losses over the estimated VaR. In this paper, we argue that this problem can be resolved through the adaptation of the unbounded Johnson distribution as that of the condition return. We also compare this model with the GARCH with the conditional return distribution of normal and student-t. Using the losses exceed the ex-ante VaR, estimates, we check the validity of the GARCH models through the failure proportion test and the clustering test. We nd that the GARCH model with conditional return distribution of unbounded Johnson provides an appropriate estimation of the VaR and does not occur the clustering of violations.

• Journal of the Korean Society of Fisheries and Ocean Technology
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• v.46 no.4
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• pp.406-415
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• 2010

The forming of fishing ground and the population ecological characteristics of yellowtail, Seriola quinqueradiata, in the coastal waters off Gim-nyeong of Jeju Island were investigated. The stock of yellowtail, Seriola quinqueradiata, between Jeju Island and coastal areas of the East Sea is probably the same. Water temperature probably is a major factor for controlling distribution of yellowtails in deeper, offshore areas off Jeju Island. However, the major factor that determines aggregation of yellowtails in coastal areas of Jeju Island, especially off Gim-nyeong is probably strong tidal currents driven by distribution of yellowtails rather than hydrological conditions such as Yellowtails collected off Jeju Island were from 1 to 4yrs old and about 50% of them were $1^{-yr}$ old, probably indicating overfishing. Jack mackerel was the major prey item for yellowtails off Gim-nyeong from October to March, suggesting concurrence of the two species.

• Journal of the Korea Safety Management & Science
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• v.26 no.1
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• pp.99-106
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• 2024

In the event of an emergency such as facility shutdown during process operation, the by-product gas must be urgently discharged to the vent stack to prevent leakage, fire, and explosion. At this time, the explosion drop value of the released by-product gas is calculated using ISO 10156 formula, which is 27.7 vol%. Therefore, it does not correspond to flammable gas because it is less than 13% of the explosion drop value, which is the standard for flammable gas defined by the Occupational Safety and Health Act, and since the explosion drop value is high, it can be seen that the risk of fire explosion is low even if it is discharged urgently with the vent stock. As a result of calculating the range of explosion hazard sites for hydrogen gas discharged to the Bent Stack according to KS C IEC 60079-10-1, 23 meters were calculated. Since hydrogen is lighter than air, electromechanical devices should not be installed within 23 meters of the upper portion of the Bent Stack, and if it is not possible, an explosion-proof electromechanical device suitable for type 1 of dangerous place should be installed. In addition, the height of the stack should be at least 5 meters so that the diffusion of by-product gas is facilitated in case of emergency discharge, and it should be installed so that there are no obstacles around it.

• Journal of Animal Science and Technology
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• v.54 no.4
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• pp.267-274
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• 2012

The method of sexing based on differences in the rate of feather growth provides a convenient and inexpensive approach. The locus of feather development gene (K) is located on the Z chromosome and can be utilized to produce phenotypes that distinguish between the sexes of chicks at hatching. To establish the auto-sexing native chicken strains, this study analyzed the genotype frequency of the feathering in domestic chicken breeds. The method of classification of slow- and rapid-feathering chickens was also investigated. In the slow-feathering chicks, the coverts were either the same length or longer than the primary wing feathers at hatching. However, the rapid-feathering chicks had the primary wing feathers that were longer than the coverts. The growth pattern of tail feather also distinctively differed between the rapid- and slow-feathering chicks after 5-days. The accuracy of wing feather sexing was about 98% compared with tail sexing. In domestic chicken breeds, Korean Black Cornish, Korean Rhode Island Red, and Korean Native Chicken-Red had both dominant (K) and recessive ($k^+$) feathering genes. The other breeds of chickens, Korean Brown Cornish, Ogol, White Leghorn, Korean Native Chicken-Yellow, -Gray, -White and -Black had only the recessive feathering gene ($k^+$). Consequently, feather sexing is available using the domestic chicken breeds. Establishing the maternal stock with dominant gene (K-) and paternal stock with recessive gene ($k^+k^+$), the slow-feathering characteristic is passed from mothers to their sons, and the rapid-feathering characteristic is inherited by daughters from their fathers.

• Journal of Intelligence and Information Systems
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• v.23 no.2
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• pp.107-122
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• 2017

Volatility in the stock market returns is a measure of investment risk. It plays a central role in portfolio optimization, asset pricing and risk management as well as most theoretical financial models. Engle(1982) presented a pioneering paper on the stock market volatility that explains the time-variant characteristics embedded in the stock market return volatility. His model, Autoregressive Conditional Heteroscedasticity (ARCH), was generalized by Bollerslev(1986) as GARCH models. Empirical studies have shown that GARCH models describes well the fat-tailed return distributions and volatility clustering phenomenon appearing in stock prices. The parameters of the GARCH models are generally estimated by the maximum likelihood estimation (MLE) based on the standard normal density. But, since 1987 Black Monday, the stock market prices have become very complex and shown a lot of noisy terms. Recent studies start to apply artificial intelligent approach in estimating the GARCH parameters as a substitute for the MLE. The paper presents SVR-based GARCH process and compares with MLE-based GARCH process to estimate the parameters of GARCH models which are known to well forecast stock market volatility. Kernel functions used in SVR estimation process are linear, polynomial and radial. We analyzed the suggested models with KOSPI 200 Index. This index is constituted by 200 blue chip stocks listed in the Korea Exchange. We sampled KOSPI 200 daily closing values from 2010 to 2015. Sample observations are 1487 days. We used 1187 days to train the suggested GARCH models and the remaining 300 days were used as testing data. First, symmetric and asymmetric GARCH models are estimated by MLE. We forecasted KOSPI 200 Index return volatility and the statistical metric MSE shows better results for the asymmetric GARCH models such as E-GARCH or GJR-GARCH. This is consistent with the documented non-normal return distribution characteristics with fat-tail and leptokurtosis. Compared with MLE estimation process, SVR-based GARCH models outperform the MLE methodology in KOSPI 200 Index return volatility forecasting. Polynomial kernel function shows exceptionally lower forecasting accuracy. We suggested Intelligent Volatility Trading System (IVTS) that utilizes the forecasted volatility results. IVTS entry rules are as follows. If forecasted tomorrow volatility will increase then buy volatility today. If forecasted tomorrow volatility will decrease then sell volatility today. If forecasted volatility direction does not change we hold the existing buy or sell positions. IVTS is assumed to buy and sell historical volatility values. This is somewhat unreal because we cannot trade historical volatility values themselves. But our simulation results are meaningful since the Korea Exchange introduced volatility futures contract that traders can trade since November 2014. The trading systems with SVR-based GARCH models show higher returns than MLE-based GARCH in the testing period. And trading profitable percentages of MLE-based GARCH IVTS models range from 47.5% to 50.0%, trading profitable percentages of SVR-based GARCH IVTS models range from 51.8% to 59.7%. MLE-based symmetric S-GARCH shows +150.2% return and SVR-based symmetric S-GARCH shows +526.4% return. MLE-based asymmetric E-GARCH shows -72% return and SVR-based asymmetric E-GARCH shows +245.6% return. MLE-based asymmetric GJR-GARCH shows -98.7% return and SVR-based asymmetric GJR-GARCH shows +126.3% return. Linear kernel function shows higher trading returns than radial kernel function. Best performance of SVR-based IVTS is +526.4% and that of MLE-based IVTS is +150.2%. SVR-based GARCH IVTS shows higher trading frequency. This study has some limitations. Our models are solely based on SVR. Other artificial intelligence models are needed to search for better performance. We do not consider costs incurred in the trading process including brokerage commissions and slippage costs. IVTS trading performance is unreal since we use historical volatility values as trading objects. The exact forecasting of stock market volatility is essential in the real trading as well as asset pricing models. Further studies on other machine learning-based GARCH models can give better information for the stock market investors.

• Korean Journal of Fisheries and Aquatic Sciences
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• v.14 no.4
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• pp.217-220
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• 1981

A trematode, Cercaria tapidis which is parasitic to short necked clam, Tapes philippinarum was studied in terms of its morphology and incidence of infection rate. The host bivalve was collected from Solri near Gunsan from September 1980 to August 1981. Sporocysts were observed mainly in tissues of gonad of the short necked clams. Minimum infection rate ($0.85\%$) was found in May, while maximum infection rate ($23.27\%$) in December. The sporocyst is 1.1 mm long and 0.27 mm wide. Ellipsoidal body of cercaria is $283{\mu}m$ long and $120{\mu}m$ wide. Oral sucker is much larger than ventral sucker. Moderately small pharynx, a long esophagus, and a long intestine reaching to the posterior end of the body are distinctive. Globular excretory bladder is located at the posterior part of the body and bears numerous granules of various size. The flame-cell arrangement is represented by a formula 2[(3+3+3)+(3+3)]=30. Tail is five times body length.