• Journal of Korea Port Economic Association
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• v.31 no.1
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• pp.1-14
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• 2015

The standard GARCH model imposing symmetry on the conditional variance, tends to fail in capturing some important features of the data. This paper, hence, introduces the models capturing asymmetric effect. They are the EGARCH model and the GJR model. We provide the systematic comparison of volatility models focusing on the asymmetric effect of news on volatility. Specifically, three diagnostic tests are provided: the sign bias test, the negative size bias test, and the positive size bias test. This paper shows that there is significant evidence of GARCH-type process in the data, as shown by the test for the Ljung-Box Q statistic on the squared residual data. The estimated unconditional density function for squared residual is clearly skewed to the left and markedly leptokurtic when compared with the standard normal distribution. The observation of volatility clustering is also clearly reinforced by the plot of the squared value of residuals of export volume and values. The unconditional variance of both export volumes and export value indicates that large shocks of either sign tend to be followed by large shocks, and small shocks of either sign tend to follow small shocks. The estimated export volume news impact curve for the GARCH also suggests that $h_t$ is overestimated for large negative and positive shocks. The conditional variance equation of the GARCH model for export volumes contains two parameters ${\alpha}$ and ${\beta}$ that are insignificant, indicating that the GARCH model is a poor characterization of the conditional variance of export volumes. The conditional variance equation of the EGARCH model for export value, however, shows a positive sign of parameter ${\delta}$, which is contrary to our expectation, while the GJR model exhibits that parameters ${\alpha}$ and ${\beta}$ are insignificant, and ${\delta}$ is marginally significant. That indicates that the asymmetric volatility models are poor characterization of the conditional variance of export value. It is concluded that the asymmetric EGARCH and GJR model are appropriate in explaining the volatility of export volume, while the symmetric standard GARCH model is good for capturing the volatility.

• International Journal of Highway Engineering
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• v.19 no.2
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• pp.97-102
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• 2017

PURPOSES : Emulsified asphalt is critical for road construction. The objective of applying asphalt emulsion as an adhesive is to prevent the phenomenon of debonding between the upper and lower layers. The quantity and veriety of bituminous material can be varied according to the type of pavement and site conditions. The objective of this study is to reveal the optimum application rates of the emulsified asphalt materials by types of tack-coats using Interface Shear Strength(ISS). METHODS : In the research, emulsified asphalt was paved on the surface of the divided mixture. The specimens of paving asphalt emulsion were utilized to evaluate the bond strength of tack-coat materials. In the evaluation process, NCHRP Report 712 was utilized to investigate the Interface Shear Strength, which reflects the bond capacity of asphalt emulsion. Then, the optimum residual application rates by tack-coat types were determined using regression analysis. RESULTS :As a consequence of squared R values investigated from 0.7 to 1 as part of the regression analysis, the tendency of predicted ISS values was compared with the results. The optimum residual application rates of AP-3, RS(C)-4, QRS-4, and BD-Coat were determined to be $0.78{\ell}/m^2$, $0.51{\ell}/m^2$, $0.53{\ell}/m^2$, and $0.73{\ell}/m^2$, respectively, utilizing 4th regression analysis. CONCLUSIONS :Based on the result of this study, it was not feasible to conclude whether higher residual application of tack-coat material leads to improved bond capacity. Rather, the shearing strength varies depending on the type of pavement.

• Journal of the Korean Wood Science and Technology
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• v.42 no.2
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• pp.193-206
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• 2014

Residual performance of old architectural wood which has been damaged was measured using Nondestructive Evaluation (NDE). The wood Pole Tester was used to assess ultrasonic velocity inside wood and drill resistance was determined using an IML-resistograph. For ultrasonic measurements squared timber and circular timber's measurements were separately conducted with 1,300 m/s as the standard ultrasonic velocity. The standard wood samples divided into two parts; a non-sound area (below the standard), and a sound area (above the standard). Furthermore, schematization of wood was compared with results naked eye observation. The drilling resistance test was performed for both length and thickness direction in wood. The internal of the drilling was set at 30 cm (length direction), 5 cm (width direction) and 30cm (thickness direction). A non-sound area was defined as that 1) amplitude is below 20% and 2) carbonization and deterioration are related.

• Journal of the Korean Data and Information Science Society
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• v.22 no.1
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• pp.89-97
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• 2011

The aims of this study were to propose a method of estimation for mean residual life function (MRLF) from conditional survival function using the Buckley and James's (1979) pseudo random variables, and then to assess the performance of the proposed method through the simulation studies. The mean squared error (MSE) of proposed method were less than those of the Cox's proportional hazard model (PHM) and Beran's nonparametric method for non-PHM case. Futhermore in the case of PHM, the MSE's of proposed method were similar to those of Cox's PHM. Finally, to evaluate the appropriateness of practical use, we applied the proposed method to the gastric cancer data. The data set consist of the 1, 192 patients with gastric cancer underwent surgery at the Department of Surgery, K-University Hospital.

• The KIPS Transactions:PartC
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• v.13C no.3 s.106
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• pp.369-374
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• 2006

This paper related with the performance improvement of adaptive equalizer that is a based on the tricepstrum eqalization algorithm by using the received signal. Adaptive equalizer used for the improvement of communication performance, like as high speed, maintain of synchronization, BER, at the receive side in the environment of communication channel of the presence of the aditive noise, phase distortion and frequency selective fading, mainly. It's characteristics are nearly same as the inverse characterstics of the communication channel. In this paper, the TEA algorithm using the HOS and the 16-QAM which is 2-dimensional signaling method for being considered signal was used. For the precoding of 16-QAM singnal in the assignment of the signal costellation, Gray code was used, and the improvement of performance was gained by computer simulation in the residual intersymbol interence and mean squared error which is representive measurement of adaptive equalizer.

• Journal of Korean Society of Forest Science
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• v.97 no.2
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• pp.140-143
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• 2008

This study compared the plywood demand prediction accuracy of econometric and vector autoregressive models using Korean data. The econometric model of plywood demand was specified with three explanatory variables; own price, construction permit area, dummy. The vector autoregressive model was specified with lagged endogenous variable, own price, construction permit area and dummy. The dummy variable reflected the abrupt decrease in plywood consumption in the late 1990's. The prediction accuracy was estimated on the basis of Residual Mean Squared Error, Mean Absolute Percentage Error and Theil's Inequality Coefficient. The results showed that the plywood demand prediction can be performed more accurately by econometric model than by vector autoregressive model.

• 한국전산유체공학회:학술대회논문집
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• 2004.03a
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• pp.83-90
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• 2004

Substructuring methods are usually used in finite element structural analyses. In this study a multi-level substructuring algorithm is developed and proposed as a possible candidate for incompressible fluid solves. Finite element formulation for incompressible flow has been stabilized by a modified residual procedure proposed by Ilinca et.al.[5]. The present algorithm consists of four stages such as a gathering stage, a condensing stage, a solving stage and a scattering stage. At each level, a predetermined number of elements are gathered and condensed to form an element of higher level. At highest level, each subdomain consists of only one super-element. Thus, the inversion process of a stiffness matrix associated with internal degrees of freedom of each subdomain has been replaced by a sequential static condensation. The global algebraic system arising feom the assembly of each subdomains is solved using Conjugate Gradient Squared(CGS) method. In this case, pre-conditioning techniques usually accompanied by iterative solvers are not needed.

• 한국전산유체공학회:학술대회논문집
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• 2004.03a
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• pp.91-98
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• 2004

In two dimensional incompressible flows, a preconditioning technique called Hierarchical Iterative Procedure(HIP) has been implemented on a stabilized finite element formulation. The stabilization has been peformed by a modified residual method proposed by Illinca et. al.[3]. The stabilization which is necessary to escape from the LBB constraint renders an equal order formulation. In this paper, we increased the order of interpolation whithin an element up to cubic. The conjugate gradient squared(CGS) method is used for the outer iteration, and the HIP for the preconditioning for the incompressible Navier-Stokes equation. The hierarchical elements has been used to achieve a higher order accuracy in fluid flow analyses, but a proper efficient iterative procedure for higher order finite element formulation has not been available so far. The numerical results by the present HIP for the lid driven cavity flow showed the present procedure to be stable, very efficient and useful in flow analyses in conjunction with hierarchical elements.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.11 no.4
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• pp.55-68
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• 2007

First-order least-squares method of a distributed optimal control problem for the incompressible Navier-Stokes equations is considered. An optimality system for the optimal solution are reformulated to the equivalent first-order system by introducing velocity-flux variables and then the least-squares functional corresponding to the system is defined in terms of the sum of the squared $L^2$ norm of the residual equations of the system. The optimal error estimates for least-squares finite element approximations are obtained.

• Journal of the Korean Mathematical Society
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• v.46 no.5
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• pp.1007-1025
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• 2009

First-order least-squares method of a distributed optimal control problem for the incompressible Stokes equations is considered. An optimality system for the optimal solution are reformulated to the equivalent first-order system by introducing the vorticity and then the least-squares functional corresponding to the system is defined in terms of the sum of the squared $H^{-1}$ and $L^2$ norms of the residual equations of the system. Finite element approximations are studied and optimal error estimates are obtained. Resulting linear system of the optimality system is symmetric and positive definite. The V-cycle multigrid method is applied to the system to test computational efficiency.