• The Korean Journal of Applied Statistics
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• v.36 no.6
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• pp.561-571
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• 2023

Volatility of a time series is defined as the conditional variance on the past information. In particular, for financial time series, volatility is regarded as a time-varying measure of risk for the financial series. To capture the intrinsic asymmetry in the risk of financial series, various asymmetric volatility processes including threshold-ARCH (TARCH, for short) have been proposed in the literature (see, for instance, Choi et al., 2012). This paper proposes a volatility function featuring non-zero origin in which the origin of the volatility is shifted from the zero and therefore the resulting volatility function is certainly asymmetric around zero and achieves the minimum at a non-zero (rather than zero) point. To validate the proposed volatility function, we analyze the Korea stock prices index (KOSPI) time series during the Covid-19 pandemic period for which origin shift to the left of the zero in volatility is shown to be apparent using the minimum AIC as well as via parametric bootstrap verification.

• The Korean Journal of Applied Statistics
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• v.20 no.3
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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.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.28 no.1A
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• pp.79-87
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• 2008

This paper investigates the in-plane stability of fixed shallow arches. The shape of the arches is parabolic and the uniformly distributed load is used in the study. The nonlinear governing equilibrium equation of the general arch is adopted to derive the incremental form of the load-displacement relationship and the buckling load of the fixed shallow arches. From the results, it is found that buckling modes (symmetric or asymmetric) of the arches are closely related to the dimensionless rise H, which is the function of slenderness ratio and the rise to span ratio of such arches. Moreover, the threshold of different buckling modes and buckling load for fixed shallow arches are proposed. A series of finite element analysis are conducted and then compared with proposed ones. From the comparative study, the proposed formula provides the good prediction of the buckling load of fixed shallow arches.