• Proceedings of the Korean Vacuum Society Conference
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• 2012.02a
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• pp.241-241
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• 2012

Semiconductor industry has been taking the advantage of improvements in process technology in order to maintain reduced device geometries and stringent performance specifications. This results in semiconductor manufacturing processes became hundreds in sequence, it is continuously expected to be increased. This may in turn reduce the yield. With a large amount of investment at stake, this motivates tighter process control and fault diagnosis. The continuous improvement in semiconductor industry demands advancements in process control and monitoring to the same degree. Any fault in the process must be detected and classified with a high degree of precision, and it is desired to be diagnosed if possible. The detected abnormality in the system is then classified to locate the source of the variation. The performance of a fault detection system is directly reflected in the yield. Therefore a highly capable fault detection system is always desirable. In this research, time series modeling of the data from an etch equipment has been investigated for the ultimate purpose of fault diagnosis. The tool data consisted of number of different parameters each being recorded at fixed time points. As the data had been collected for a number of runs, it was not synchronized due to variable delays and offsets in data acquisition system and networks. The data was then synchronized using a variant of Dynamic Time Warping (DTW) algorithm. The AutoRegressive Integrated Moving Average (ARIMA) model was then applied on the synchronized data. The ARIMA model combines both the Autoregressive model and the Moving Average model to relate the present value of the time series to its past values. As the new values of parameters are received from the equipment, the model uses them and the previous ones to provide predictions of one step ahead for each parameter. The statistical comparison of these predictions with the actual values, gives us the each parameter's probability of fault, at each time point and (once a run gets finished) for each run. This work will be extended by applying a suitable probability generating function and combining the probabilities of different parameters using Dempster-Shafer Theory (DST). DST provides a way to combine evidence that is available from different sources and gives a joint degree of belief in a hypothesis. This will give us a combined belief of fault in the process with a high precision.

• 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.