• The Journal of Asian Finance, Economics and Business
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• 제9권7호
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• pp.1-15
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• 2022

Combining the strength of both Mixed Data Sampling (MIDAS) Regression and realized variance measures, this paper seeks to investigate two objectives: (1) evaluate the post-sample performance of the proposed weekly Realized Variance-MIDAS (RVar-MIDAS) in one-week ahead volatility forecasting against the established Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and the less explored but robust STES (Smooth Transition Exponential Smoothing) methods. (2) comparing forecast error performance between realized variance and squared residuals measures as a proxy for actual volatility. Data of seven private equity mutual fund indices (generated from 57 individual funds) from two different time periods (with and without financial crisis) are applied to 21 models. Robustness of the post-sample volatility forecasting of all models is validated by the Model Confidence Set (MCS) Procedures and revealed: (1) The weekly RVar-MIDAS model emerged as the best model, outperformed the robust DAILY-STES methods, and the weekly DAILY-GARCH models, particularly during a volatile period. (2) models with realized variance measured in estimation and as a proxy for actual volatility outperformed those using squared residual. This study contributes an empirical approach to one-week ahead volatility forecasting of mutual funds return, which is less explored in past literature on financial volatility forecasting compared to stocks volatility.

• KEPCO Journal on Electric Power and Energy
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• 제8권1호
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• pp.21-29
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• 2022

Power generated from renewable energy has continuously increased recently. As the distributed generation begins to interconnect in the distribution system, an accurate generation forecasting has become important in efficient distribution planning. This paper explained method and current state of distributed power generation forecasting models. This paper presented selecting input and output variables for the forecasting model. In addition, this paper analyzed input variables and forecasting models that can use as mid-to long-term distributed power generation forecasting.

• Asian-Australasian Journal of Animal Sciences
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• 제25권4호
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• pp.462-470
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• 2012

The availability and efficient use of the feed resources in India are the primary drivers to maximize productivity of Indian livestock. Feed security is vital to the livestock management, extent of use, conservation and productivity enhancement. Assessment and forecasting of livestock feed resources are most important for effective planning and policy making. In the present study, 40 years of data on crop production, land use pattern, rainfall, its deviation from normal, area under crop and yield of crop were collected and modeled to forecast the likely production of feed resources for the next 20 years. The higher order auto-regressive (AR) models were used to develop efficient forecasting models. Use of climatic variables (actual rainfall and its deviation from normal) in combination with non-climatic factors like area under each crop, yield of crop, lag period etc., increased the efficiency of forecasting models. From the best fitting models, the current total dry matter (DM) availability in India was estimated to be 510.6 million tonnes (mt) comprising of 47.2 mt from concentrates, 319.6 mt from crop residues and 143.8 mt from greens. The availability of DM from dry fodder, green fodder and concentrates is forecasted at 409.4, 135.6 and 61.2 mt, respectively, for 2030.

• 한국수자원학회논문집
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• 제35권5호
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• pp.631-638
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• 2002

시계열의 예측은 통상 추계학적 모형에 의해 수행하여 왔다. 그러나 본 연구에서는 퍼지 개념을 이용한 퍼지 시계열 모형에 의해 강수량 예측을 수행하였다. 기존에 제안된 퍼지 시계열 모형을 이용하여 예측을 수행하고, 예측 능력을 향상시키기 위하여 퍼지 시계열과 뉴로-퍼지 시스템을 연계한 새로운 방법론을 제안하여 상호 비교ㆍ분석하였다. 이를 위하여 미국 일리노이주의 강수량 시계열 예측에 적용하였으며, 예측 결과, 기존의 모형보다 본 연구에서 제안한 방법론의 결과가 더 정확함을 알 수 있었다.

• 한국국방경영분석학회지
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• 제17권1호
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• pp.130-145
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• 1991

The literature has recorded many models dealing with manpower forecasting and planning. The approaches used by the various authors are clearly disparate. This paper presents a taxonomy for manpower planning and forecasting methodologies and classifies the landmark developments in this field. The taxonomical schema is then applied to unify the models in consideration of the methods and the decision factors used for forecasting and/or planning. The taxonomy allows for the most complex model structure containing all the factors considered germane in the existing literature.

• Journal of the Korean Data and Information Science Society
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• 제14권3호
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• pp.641-651
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• 2003

This study suggests the hybrid models for interest rate forecasting using structural changes (or change points). The basic concept of this proposed model is to obtain significant intervals caused by change points, to identify them as the change-point groups, and to reflect them in interest rate forecasting. The model is composed of three phases. The first phase is to detect successive structural changes in the U. S. Treasury bill rate dataset. The second phase is to forecast the change-point groups with data mining classifiers. The final phase is to forecast interest rates with backpropagation neural networks (BPN). Based on this structure, we propose three hybrid models in terms of data mining classifier: (1) multivariate discriminant analysis (MDA)-supported model, (2) case-based reasoning (CBR)-supported model, and (3) BPN-supported model. Subsequently, we compare these models with a neural network model alone and, in addition, determine which of three classifiers (MDA, CBR and BPN) can perform better. For interest rate forecasting, this study then examines the prediction ability of hybrid models to reflect the structural change.

• Communications for Statistical Applications and Methods
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• 제27권2호
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• pp.177-187
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• 2020

This article is concerned with the issue of forecasting and evaluation of threshold-asymmetric volatility models for time series of count data. In particular, threshold integer-valued models with conditional Poisson and conditional negative binomial distributions are highlighted. Based on the parametric bootstrap method, some evaluation measures are discussed in terms of one-step ahead forecasting. A parametric bootstrap procedure is explained from which directional measure, magnitude measure and expected cost of misclassification are discussed to evaluate competing models. The cholera data in Bangladesh from 1988 to 2016 is analyzed as a real application.

• The Journal of Asian Finance, Economics and Business
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• 제9권4호
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• pp.83-92
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• 2022

Due to the uncertainty in the order of the integrated model, the SARIMA-LSTM model, SARIMA-SVR model, LSTM-SARIMA model, and SVR-SARIMA model are constructed respectively to determine the best-combined model for forecasting the China-Russia trade turnover. Meanwhile, the effect of the order of the combined models on the prediction results is analyzed. Using indicators such as MAPE and RMSE, we compare and evaluate the predictive effects of different models. The results show that the SARIMA-LSTM model combines the SARIMA model's short-term forecasting advantage with the LSTM model's long-term forecasting advantage, which has the highest forecast accuracy of all models and can accurately predict the trend of China-Russia trade turnover in the post-epidemic period. Furthermore, the SARIMA - LSTM model has a higher forecast accuracy than the LSTM-ARIMA model. Nevertheless, the SARIMA-SVR model's forecast accuracy is lower than the SVR-SARIMA model's. As a result, the combined models' order has no bearing on the predicting outcomes for the China-Russia trade turnover time series.

• 전기학회논문지
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• 제65권6호
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• pp.918-922
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• 2016

As the number of wind farms operating has increased, the interest of the central unit commitment and dispatch for wind power has increased as well. Wind power forecast is necessary for effective power system management and operation with high wind power penetrations. This paper presents the centralized wind power forecasting method, which is a forecast to combine all wind farms in the area into one, using time series models. Also, this paper proposes a prediction model modified with wind forecast error compensation. To demonstrate the improvement of wind power forecasting accuracy, the proposed method is compared with persistence model and new reference model which are commonly used as reference in wind power forecasting using Jeju Island data. The results of case studies are presented to show the effectiveness of the proposed wind power forecasting method.

• 물과 미래
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• 제27권3호
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• pp.55-69
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• 1994

홍수시 한강 인도교에 대한 단기간 예보의 정확도를 제고하기 위한 통계학적 홍수예보모형으로 '인도교수위와 영향인자간의 다중회귀분석에 의한 다변수 모형(MM 모형)'과 '수위구간별 다중회귀분석에 의한 다수준 다변수 모형(MMP 모형)' 그리고 '수위의 증감추세에 따른 2 수준 다변수 모형(2MP 모형)'을 제시하였다. 연구대상으로는 분석된 세가지 모형 중, 'MM 모형'은 4시간예측시 평균오차가 35cm 이내의 정도를 나타내며 'MMP 모형'은 모형개발시에 구분한 각 수위구간에 대해서는 매우 작은 평균오차를 나타내지만 실제 홍수사상에 적용시에는 뚜렷한 정도의 향상을 나타내지 못하는 것으로 보인다. 이것은 실제홍수시 수위가 각 구간내에만 머물지 않기 때문인 것으로 보인다. 한편 '2MP 모형'은 예측정도가 가장 높으나 드물게 발산현상이 나타나고 있어 안정도가 떨어지며, 'MMP 모형'은 '2MP 모형'과 비교하여 예측정도는 약간 떨어지나 안정된 예측결과를 보여준다.