• Title/Summary/Keyword: 측정방법론

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Trends in QA/QC of Phytoplankton Data for Marine Ecosystem Monitoring (해양생태계 모니터링을 위한 식물플랑크톤 자료의 정도 관리 동향)

  • YIH, WONHO;PARK, JONG WOO;SEONG, KYEONG AH;PARK, JONG-GYU;YOO, YEONG DU;KIM, HYUNG SEOP
    • The Sea:JOURNAL OF THE KOREAN SOCIETY OF OCEANOGRAPHY
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    • v.26 no.3
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    • pp.220-237
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    • 2021
  • Since the functional importance of marine phytoplankton was firstly advocated from early 1880s massive data on the species composition and abundance were produced by classical microscopic observation and the advanced auto-imaging technologies. Recently, pigment composition resulted from direct chemical analysis of phytoplankton samples or indirect remote sensing could be used for the group-specific quantification, which leads us to more diversified data production methods and for more improved spatiotemporal accessibilities to the target data-gathering points. In quite a few cases of many long-term marine ecosystem monitoring programs the phytoplankton species composition and abundance was included as a basic monitoring item. The phytoplankton data could be utilized as a crucial evidence for the long-term change in phytoplankton community structure and ecological functioning at the monitoring stations. Usability of the phytoplankton data sometimes is restricted by the differences in data producers throughout the whole monitoring period. Methods for sample treatments, analyses, and species identification of the phytoplankton species could be inconsistent among the different data producers and the monitoring years. In-depth study to determine the precise quantitative values of the phytoplankton species composition and abundance might be begun by Victor Hensen in late 1880s. International discussion on the quality assurance of the marine phytoplankton data began in 1969 by the SCOR Working Group 33 of ICSU. Final report of the Working group in 1974 (UNESCO Technical Papers in Marine Science 18) was later revised and published as the UNESCO Monographs on oceanographic methodology 6. The BEQUALM project, the former body of IPI (International Phytoplankton Intercomparison) for marine phytoplankton data QA/QC under ISO standard, was initiated in late 1990. The IPI is promoting international collaboration for all the participating countries to apply the QA/QC standard established from the 20 years long experience and practices. In Korea, however, such a QA/QC standard for marine phytoplankton species composition and abundance data is not well established by law, whereas that for marine chemical data from measurements and analysis has been already set up and managed. The first priority might be to establish a QA/QC standard system for species composition and abundance data of marine phytoplankton, then to be extended to other functional groups at the higher consumer level of marine food webs.

An Empirical Analysis of Accelerator Investment Determinants: A Longitudinal Study on Investment Determinants and Investment Performance (액셀러레이터 투자결정요인 실증 분석: 투자결정요인과 투자성과에 대한 종단 연구)

  • Jin Young Joo;Jeong Min Nam
    • Asia-Pacific Journal of Business Venturing and Entrepreneurship
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    • v.18 no.4
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    • pp.1-20
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    • 2023
  • This study attempted to identify the relationship between the investment determinants of accelerators and investment performance through empirical analysis. Through literature review, four dimensions and 12 measurement items were extracted for investment determinants, which are independent variables, and investment performance was adjusted to the cumulative amount of subsequent investment based on previous studies. Performance data from 594 companies selected by TIPS from 2017 to 2019, which are relatively reliable and easy to secure data, were collected, and the subsequent investment cumulative attraction amount, which is a dependent variable, was hypothesized through multiple regression analysis three years after the investment. As a result of the study, 'industrial experience years' in the characteristics of founders, 'market size', 'market growth', 'competitive strength', and 'number of patents' in the characteristics of products and services had a significant positive (+) effect. The impact of independent variables on dependent variables was most influenced by the competitive strength of market characteristics, followed by the number of years of industrial experience, the number of patents, the size of the market, and market growth. This was different from the results of previous studies conducted mainly on qualitative research methods, and in most previous studies, the characteristics of founders were the most important, but the empirical analysis results were market characteristics. As a sub-factor, the intensity of competition, which was the subordinate to the importance of previous studies, had the greatest influence in empirical analysis. The academic significance of this study is that it presented a specific methodology to collect and build 594 empirical samples in the absence of empirical research on accelerator investment determinants, and created an opportunity to expand the theoretical discussion of investment determinants through causal research. In practice, the information asymmetry and uncertainty of startups that accelerators have can help them make effective investment decisions by establishing a systematic model of experience-dependent investment determinants.

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Image quality and usefulness evaluaton of 3D-CBCT and Gated-CBCT according to baseline changes for SBRT of Lung Cancer (폐암 환자의 정위체부방사선치료 시 기준선 변화에 따른 3D-CBCT(Cone Beam Computed-Tomography)와 Gated-CBCT의 영상 품질 및 유용성 평가)

  • Han Kuk Hee;Shin Chung Hun;Lee Chung Hwan;Yoo Soon Mi;Park Ja Ram;Kim Jin Su;Yun In Ha
    • The Journal of Korean Society for Radiation Therapy
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    • v.35
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    • pp.41-51
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    • 2023
  • Purpose: This study compares and analyzes the image quality of 3D-CBCT(Cone Beam Computed-Tomography) and Gated CBCT according to baseline changes during SBRT(Stereotactic Body RadioTherapy) in lung cancer patients to find a useful CBCT method for correcting movement due to breathing Materials and methods : Insert a solid tumor material with a diameter of 3 cm into the QUASARTM phantom. 4-Dimentional Computed-Tomography(4DCT) images were taken with a speed of the phantom at period 3 sec and a maximum amplitude of 20 mm. Using the contouring menu of the computerized treatment planning system EclipseTM Gross Tumor Volume was outlined on solid tumor material. Set-up the same as when acquiring a 4DCT image using Truebeam STxTM, breathing patterns with baseline changes of 1 mm, 3 mm, and 5 mm were input into the phantom to obtain 3D-CBCT (Spotlight, Full) and Gated-CBCT (Spotlight, Full) images five times repeatedly. The acquired images were compared with the Signal-to-Noise Ratio(SNR), Contrast-to-Noise Ratio(CNR), Tumor Volume Length, and Motion Blurring Ratio(MBR) based on the 4DCT image. Results: The average Signal-to-Noise Ratio, Contrast-to-Noise Ratio, Tumor Volume Length and Motion Blurring Ratio of Spotlight Gated CBCT images were 13.30±0.10%, 7.78±0.16%, 3.55±0.17%, 1.18±0.06%. As a result, Spotlight Gated-CBCT images according to baseline change showed better values than Spotligtht 3D-CBCT images. Also, the average Signal-to-Noise Ratio, Contrast-to-Noise Ratio, Tumor Volume Length and Motion Blurring Ratio of Full Gated CBCT images were 12.80±0.11%, 7.60±0.11%, 3.54±0.16%, 1.18±0.05%. As a result Full GatedCBCT images according to baseline change showed better values than Full 3D-CBCT images. Conclusion : Compared to 3D-CBCT images, Gated-CBCT images had better image quality according to the baseline change, and the effect of Motion Blurring Artifacts caused by breathing was small. Therefore, it is considered useful to image guided using Gated-CBCT when a baseline change occurs due to difficulty in regular breathing during SBRT that exposes high doses in a short period of time

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Dosimetric evaluation of using in-house BoS Frame Fixation Tool for the Head and Neck Cancer Patient (두경부암 환자의 양성자 치료 시 사용하는 자체 제작한 BoS Frame 고정장치의 선량학적 유용성 평가)

  • Kim, kwang suk;Jo, kwang hyun;Choi, byeon ki
    • The Journal of Korean Society for Radiation Therapy
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    • v.28 no.1
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    • pp.35-46
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    • 2016
  • Purpose : BoS(Base of Skull) Frame, the fixation tool which is used for the proton of brain cancer increases the lateral penumbra by increasing the airgap (the distance between patient and beam jet), due to the collision of the beam of the posterior oblique direction. Thus, we manufactured the fixation tool per se for improving the limits of BoS frame, and we'd like to evaluate the utility of the manufactured fixation tool throughout this study. Materials and Methods : We've selected the 3 patients of brain cancer who have received the proton therapy from our hospital, and also selected the 6 beam angles; for this, we've selected the beam angle of the posterior oblique direction. We' ve measured the planned BoS frame and the distance of Snout for each beam which are planned for the treatment of the patient using the BoS frame. After this, we've proceeded with the set-up that is above the location which was recommended by the manufacturer of the BoS frame, at the same beam angle of the same patient, by using our in-house Bos frame fixation tool. The set-up was above 21 cm toward the superior direction, compared to the situation when the BoS frame was only used with the basic couch. After that, we've stacked the snout to the BoS frame as much as possible, and measured the distance of snout. We've also measured the airgap, based on the gap of that snout distance; and we've proceeded the normalization based on each dose (100% of each dose), after that, we've conducted the comparative analysis of lateral penumbra. Moreover, we've established the treatment plan according to the changed airgap which has been transformed to the Raystation 5.0 proton therapy planning system, and we've conducted the comparative analysis of DVH(Dose Volume Histogram). Results : When comparing the result before using the in-house Bos frame fixation tool which was manufactured for each beam angle with the result after using the fixation tool, we could figure out that airgap than when not used in accordance with the use of the in-house Bos frame fixation tool was reduced by 5.4 cm ~ 15.4 cm, respectively angle. The reduced snout distance means the airgap. Lateral Penumbra could reduce left, right, 0.1 cm ~ 0.4 cm by an angle in accordance with decreasing the airgap while using each beam angle in-house Bos frame fixation tool. Due to the reduced lateral penumbra, Lt.eyeball, Lt.lens, Lt. hippocampus, Lt. cochlea, Rt. eyeball, Rt. lens, Rt. cochlea, Rt. hippocampus, stem that can be seen that the dose is decreased by 0 CGE ~ 4.4 CGE. Conclusion : It was possible to reduced the airgap by using our in-house Bos frame fixation tool for the proton therapy; as a result, it was possible to figure out that the lateral penumbra reduced. Moreover, it was also possible to check through the comparative analysis of the treatment plan that when we reduce the lateral penumbra, the reduction of the unnecessary irradiation for the normal tissues. Therefore, Using the posterior oblique the Brain cancer proton therapy should be preceded by decreasing the airgap, by using our in-house Bos frame fixation tool; also, the continuous efforts for reducing the airgap as much as possible for the proton therapy of other area will be necessary as well.

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The Lung Expression of Proinflammatory Cytokines, TNF-$\alpha$ and Interleukin 6, in Early Periods of Endotoxemia (내독소혈증 유발 급성폐손상에서 폐장내 Proinflammatory Cytokines 발현에 관한 고찰)

  • Moon, Seung-Hyug;Kim, Yong-Hoon;Park, Choon-Sik;Lee, Shin-Je
    • Tuberculosis and Respiratory Diseases
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    • v.45 no.3
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    • pp.553-564
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    • 1998
  • Background: The immediate hoot response to LPS is the production of proinflammatory cytokines that act as intercellular mediators in inflammatory reactions, including acute lung injury. These "early response" cytokines transmit signals from recognition cells to target or effector cells. This host response is further amplified by the expression of leukocyte chemoattractants, growth factors, and adhesion molecules, resulting in an array of proinflammatory events. This experiment was performed to define the lung origin of proinflammatory cytokines, such as TNF-$\alpha$, IL 6 in early periods of endotoxin induced acute lung injury (ALI). Method: The healthy male Sprague-Dawley, weighted 150 - 250g, were divided into saline control (NC) and endotoxemia-induced ALI (ETX-), and leukopenic endotoxemia-induced ALI (CPA-ETX-Group) which was induced by cyclophosphamide, 70 mg/kg i.p. injection. Acute lung injury was evoked by LPS, 5 mg/kg, intravenously administered. Bronchoalveolar lavage was performed at 0, 3, 6 h after LPS-treated to estimate the influx of phagocytes and concentration of total protein, and cytokines as TNF-$\alpha$ and IL 6 by a bioassy using MIT method. We also examined the localization of TNF-$\alpha$ and IL 6 protein in endotoxemia-challenged lung tissue by immunohistochemical stain (IH). Results: The total cell, macrophage and PMN count in BALF were elavated in ETX group compared to NC(p<0.05). In CPA-ETX group, total cell and macrophage count in BALF were not changed compared to NC. but PMN count was markedly reduced and it took part in less than 0.1 % of total BAL cells (p<0.01). The protein concentration in BALF were significantly increased in ETX and CPA-ETX group Compared to NC (p<0.05), but there was significant difference between ETX- and CPA-ETX group only at 6 h (p<0.05). This observation suggested that even if PMNs are involved in the pathogenesis of acute lung injury, their role cannot be viewed as essential The concentration of TNF-$\alpha$ and IL 6 in BALF was significantly increased in the ETX- and CPA-ETX group compared to NC. There was no difference between ETX- and CPA-ETX group. In IH, anti-TNF-$\alpha$- and anti-IL 6 antibody was strongly localized at interstitial monocytes and alveolar macrophages in endotoxemia-challenged lung tissue. From above point of view, activated alveolar macrophage/monocyte considered as a prominent source of proinflammatory cytokines in endotoxemia-challenged lung injury. Conclusion: The prominent source of proinflammatory cytokines in early periods of endotoxemia-induced lung injury will be the activated resident macrophages like an alveolar macrophage and interstitial monocytes. The pulmonary macrophage/monocyte will impact the initiation and continuance of lung injury without PMNs's certain inflammatory role, particularly in endotoxemia-induced acute lung injury.

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Evaluation of Tuberculosis Activity in Patients with Anthracofibrosis by Use of Serum Levels of IL-2 $sR{\alpha}$, IFN-${\gamma}$ and TBGL(Tuberculous Glycolipid) Antibody (Anthracofibrosis의 결핵활동성 지표로서 혈청 IL-2 $sR{\alpha}$, IFN-${\gamma}$, 그리고 TBGL(tuberculous glycolipid) antibody 측정의 의의)

  • Jeong, Do Young;Cha, Young Joo;Lee, Byoung Jun;Jung, Hye Ryung;Lee, Sang Hun;Shin, Jong Wook;Kim, Jae-Yeol;Park, In Won;Choi, Byoung Whui
    • Tuberculosis and Respiratory Diseases
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    • v.55 no.3
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    • pp.250-256
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    • 2003
  • Background : Anthracofibrosis, a descriptive term for multiple black pigmentation with fibrosis on bronchoscopic examination, has a close relationship with active tuberculosis (TB). However, TB activity is determined in the later stage by the TB culture results in some cases of anthracofibrosis. Therefore, it is necessary to identify early markers of TB activity in anthracofibrosis. There have been several reports investigating the serum levels of IL-2 $sR{\alpha}$, IFN-${\gamma}$ and TBGL antibody for the evaluation of TB activity. In the present study, we tried to measure the above mentioned serologic markers for the evaluation of TB activity in patients with anthracofibrosis. Methods : Anthracofibrosis was defined when there was deep pigmentation (in more than two lobar bronchi) and fibrotic stenosis of the bronchi on bronchoscopic examination. The serum of patients with anthracofibrosis was collected and stored under refrigeration before the start of anti-TB medication. The serum of healthy volunteers (N=16), patients with active TB prior to (N=22), and after (N=13), 6 month-medication was also collected and stored. Serum IL-2 $sR{\alpha}$, IFN-${\gamma}$ were measured with ELISA kit (R&D system, USA) and serum TBGL antibody was measured with TBGL EIA kit (Kyowa Inc, Japan). Results : Serum levels of IL-2 $sR{\alpha}$ in healthy volunteers, active TB patients before and after medication, and patients with anthracofibrosis were $640{\pm}174$, $1,611{\pm}2,423$, $953{\pm}562$, and $863{\pm}401$ pg/ml, respectively. The Serum IFN-${\gamma}$ levels were 0, $8.16{\pm}17.34$, $0.70{\pm}2.53$, and $2.33{\pm}6.67$ pg/ml, and TBGL antibody levels were $0.83{\pm}0.80$, $5.91{\pm}6.71$, $6.86{\pm}6.85$, and $3.22{\pm}2.59$ U/ml, respectively. The serum level of TBGL antibody was lower than of other groups (p<0.05). There was no significant difference of serum IL-2 $sR{\alpha}$ and IFN-${\gamma}$ levels among the four groups. Conclusion : The serum levels of IL-2 $sR{\alpha}$, IFN-${\gamma}$ and TBGL antibody were not useful in the evaluation of TB activity in patients with anthracofibrosis. More useful ways need to be developed for the differentiation of active TB in patients with anthracofibrosis.

Evaluation of the Usefulness of Exactrac in Image-guided Radiation Therapy for Head and Neck Cancer (두경부암의 영상유도방사선치료에서 ExacTrac의 유용성 평가)

  • Baek, Min Gyu;Kim, Min Woo;Ha, Se Min;Chae, Jong Pyo;Jo, Guang Sub;Lee, Sang Bong
    • The Journal of Korean Society for Radiation Therapy
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    • v.32
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    • pp.7-15
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    • 2020
  • Purpose: In modern radiotherapy technology, several methods of image guided radiation therapy (IGRT) are used to deliver accurate doses to tumor target locations and normal organs, including CBCT (Cone Beam Computed Tomography) and other devices, ExacTrac System, other than CBCT equipped with linear accelerators. In previous studies comparing the two systems, positional errors were analysed rearwards using Offline-view or evaluated only with a Yaw rotation with the X, Y, and Z axes. In this study, when using CBCT and ExacTrac to perform 6 Degree of the Freedom(DoF) Online IGRT in a treatment center with two equipment, the difference between the set-up calibration values seen in each system, the time taken for patient set-up, and the radiation usefulness of the imaging device is evaluated. Materials and Methods: In order to evaluate the difference between mobile calibrations and exposure radiation dose, the glass dosimetry and Rando Phantom were used for 11 cancer patients with head circumference from March to October 2017 in order to assess the difference between mobile calibrations and the time taken from Set-up to shortly before IGRT. CBCT and ExacTrac System were used for IGRT of all patients. An average of 10 CBCT and ExacTrac images were obtained per patient during the total treatment period, and the difference in 6D Online Automation values between the two systems was calculated within the ROI setting. In this case, the area of interest designation in the image obtained from CBCT was fixed to the same anatomical structure as the image obtained through ExacTrac. The difference in positional values for the six axes (SI, AP, LR; Rotation group: Pitch, Roll, Rtn) between the two systems, the total time taken from patient set-up to just before IGRT, and exposure dose were measured and compared respectively with the RandoPhantom. Results: the set-up error in the phantom and patient was less than 1mm in the translation group and less than 1.5° in the rotation group, and the RMS values of all axes except the Rtn value were less than 1mm and 1°. The time taken to correct the set-up error in each system was an average of 256±47.6sec for IGRT using CBCT and 84±3.5sec for ExacTrac, respectively. Radiation exposure dose by IGRT per treatment was measured at 37 times higher than ExacTrac in CBCT and ExacTrac at 2.468mGy and 0.066mGy at Oral Mucosa among the 7 measurement locations in the head and neck area. Conclusion: Through 6D online automatic positioning between the CBCT and ExacTrac systems, the set-up error was found to be less than 1mm, 1.02°, including the patient's movement (random error), as well as the systematic error of the two systems. This error range is considered to be reasonable when considering that the PTV Margin is 3mm during the head and neck IMRT treatment in the present study. However, considering the changes in target and risk organs due to changes in patient weight during the treatment period, it is considered to be appropriately used in combination with CBCT.

Pharmacokinetic Profiles of Isoniazid and Rifampicin in Korean Tuberculosis Patients (한국인 결핵환자에서 Isoniazid와 Rifampicin의 약동학)

  • Ahn, Seok-Jin;Park, Sang-Joon;Kang, Kyeong-Woo;Suh, Gee-Young;Chung, Man-Pyo;Kim, Ho-Joong;Kwon, O-Jung;Rhee, Chong-H.;Cha, Hee-Soo;Kim, Myoung-Min;Choi, Kyung-Eob
    • Tuberculosis and Respiratory Diseases
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    • v.47 no.4
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    • pp.442-450
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    • 1999
  • Background : Isoniazid(INH) and rifampicin(RFP) are the most effective anti-tuberculosis drugs which make the short-course chemotherapy possible. Although prescribed dosages of INH and RFP in Korea are different from those recommended by American Thoracic Society, there has been few study about pharmacokinetic profiles of INH and RFP in Korean patients who receive INH, RFP, ethambutol(EMB) and pyrazinamide(PZA) simultaneously. Methods : Among the patients with active tuberculosis from Dec. 1997 to July 1998, we selected 17 patients. After an overnight fast, patients were given INH 300mg, RFP 450mg, EMB 800mg and PZA 1500mg daily. Blood samples for the measurement of plasma INH(n=15) and RFP(n=17) level were drawn each at 0, 0.5, 1, 1.5, 2, 4, 6, 8 and 12hrs, and urine was also collected. INH and RFP level in the plasma and the urine were measured by high-performance liquid chromatography(HPLC). Pharmacokinetic parameters such as peak serum concentration(Cmax), time to reach to peak serum concentration(Tmax), half-life, elimination rate constant(Ke), total body clearance(CLtot), nonrenal clearance(CLnr), and renal clearance(CLr) were calculated. Results : 1) Pharmacokinetic parameters of INH were as follows: Cmax; $7.63{\pm}3.20{\mu}g/ml$, Tmax; $0.73{\pm}0.22hr$, half-life; $2.12{\pm}0.84hrs$, Ke; $0.83{\pm}0.15hrs^{-1}$, CLtot; $17.54{\pm}8.89L/hr$, CLnr; $14.74{\pm}8.35L/hr$, CLr; $2.79{\pm}1.31L/hr$. 2) Pharmacokinetic parameters of RFP were as follows: Cmax; $8.93{\pm}3.98{\mu}g/ml$, Tmax; $1.76{\pm}1.13hrs$, half-life; $2.27{\pm}0.54hrs$, Ke; $0.32{\pm}0.08hrs^{-1}$, CLtot; $14.63{\pm}6.60L/hr$, CLr; $1.04{\pm}0.55L/hr$, CLnr; $13.59{\pm}6.21L/hr$. 3) While the correlation between body weight and Cmax of INH was not statistically significant (r=-0.514, p value>0.05), Cmax of RFP was significantly affected by body weight of the patients(r=-0.662, p value<0.01). Conclusion : In Korean patients with tuberculosis, 300mg of INH will be sufficient to reach the ideal peak blood level even in the patients over 50kg of body weight However, 450mg of RFP will not be the adequate dose in the patients who weigh over 50~60kg.

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The Effect of Heat Shock Response on the Tumor Necrosis Factor-$\alpha$-induced Acute Lung Injury in Rats (Tumor Necrosis Factor-$\alpha$로 유도되는 백서의 급성 폐손상에 열충격반응이 미치는 효과)

  • Koh, Youn-Suck;Lim, Chae-Man;Kim, Mi-Jung;Cho, Won-Kyung;Jeoung, Byung-O;Song, Kyu-Young;Shim, Tae-Sun;Lee, Sang-Do;Kim, Woo-Sung;Kim, Dong-Soon;Kim, Won-Dong
    • Tuberculosis and Respiratory Diseases
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    • v.44 no.6
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    • pp.1343-1352
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    • 1997
  • Background : Heat-treated cells are known to be protected from lysis by TNF, which is considered to play a central role in the pathogenesis of sepsis-induced acute lung injury. The objective of the study was to investigate the effect of heat shock response by heat-pretreatment on the acute lung injury of the rats induced by intratracheally administered TNF-$\alpha$, Methods : We intratracheally instilled either saline or TNF (R&D, 500ng) with and without heat pretreatment in Sprague-Dawley rats weighing 250~350 g. The heated rats were raised their rectal temperature to $41^{\circ}C$ and was maintained thereafter for 13 minutes at 18 h before intratracheal administration of saline or TNF. After 5 h of intratracheal treatment, lung leak, lung myeloperoxidase activity (MPO) and heat shock proteins were measured in rats. Lung leak index was defined as counts per minute of $I^{25}$ in the right lung divided by counts per minutes of $I^{25}$ in 1.0 ml of blood. All data are expressed as means ${\pm}$SE. Results : There is no difference in acute lung leak index ($0.099{\pm}0.024$ vs $0.123{\pm}0.005$) among the rats given saline intratracheally with and without heat pretreatment, but MPO activity showed a decreased tendency in heat-pretreated rats ($4.58{\pm}0.79\;U/g$) compared with heat-unpretreated rats ($7.32{\pm}0.97\;U/g$) (P=0.064). Rats administered TNF intratracheally with heat-pretreatment had decreased lung leak index ($0.137{\pm}0.012$) and lung MPO activity ($5.51{\pm}1.04\;U/g$) compared with those of heat-unpretreated and TNF-administered rats ($0.186{\pm}0.016$, $14.34{\pm}1.22\;U/g$) (P<0.05 in each). There were no significant difference of lung leak index and MPO activity between TNF-treated rats with heat-pretreatment and saline-treated rats with and without heat-pretreatment. Conclusion : The heat shock response attenuated neutrophil recruitment and acute lung leak induced by intratracheal instillation of TNF-in rats.

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Estimation of GARCH Models and Performance Analysis of Volatility Trading System using Support Vector Regression (Support Vector Regression을 이용한 GARCH 모형의 추정과 투자전략의 성과분석)

  • Kim, Sun Woong;Choi, Heung Sik
    • 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.