• The Korean Journal of Applied Statistics
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• v.33 no.3
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• pp.297-308
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• 2020

We focus on the functional autoregressive conditional heteroscedasticity (fARCH) modelling to analyze intraday volatilities based on high frequency financial time series. Multivariate volatility models are investigated to approximate fARCH(1). A formula of multi-step ahead volatilities for fARCH(1) model is derived. As an application, in implementing fARCH(1), a choice of appropriate time interval for the intraday return is discussed. High frequency KOSPI data analysis is conducted to illustrate the main contributions of the article.

• The Korean Journal of Applied Statistics
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• v.30 no.6
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• pp.983-991
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• 2017

High frequency time series are now prevalent in financial data. However, models need to be further developed to suit high frequency time series that account for intraday volatilities since traditional volatility models such as ARCH and GARCH are concerned only with daily volatilities. Due to $H{\ddot{o}}rmann$ et al. (2013), functional ARCH abbreviated as fARCH is proposed to analyze intraday volatilities based on high frequency time series. This article introduces fARCH to readers that illustrate intraday volatility configuration on the KOSPI and the Hyundai motor company based on the data with one minute high frequency.

• The Korean Journal of Applied Statistics
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• v.17 no.2
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• pp.219-228
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• 2004

In this paper we construct prediction intervals for nonlinear time series models using the bootstrap. We compare these prediction intervals to traditional asymptotic prediction intervals using quasi-score estimation function and M-quasi-score estimating function comprising bounded functions. Simulation results show that the bootstrap method leads to improved accuracy. The accuracy of the bootstrap is empirically demonstrated with the consumer price index.

• The Korean Journal of Applied Statistics
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• v.31 no.5
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• pp.667-675
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• 2018

When a financial time series consists of daily (closing) returns, traditional volatility models such as autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) are useful to figure out daily volatilities. With high frequency returns in a day, one may adopt various multivariate GARCH techniques (MGARCH) (Tsay, Multivariate Time Series Analysis With R and Financial Application, John Wiley, 2014) to obtain intraday volatilities as long as the high frequency is moderate. When it comes to the ultra high frequency (UHF) case (e.g., one minute prices are available everyday), a new model needs to be developed to suit UHF time series in order to figure out continuous time intraday-volatilities. Aue et al. (Journal of Time Series Analysis, 38, 3-21; 2017) proposed functional GARCH (fGARCH) to analyze functional volatilities based on UHF data. This article introduces fGARCH to the readers and illustrates how to estimate fGARCH equations using UHF data of KOSPI and Hyundai motor company.

• Tunnel and Underground Space
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• v.12 no.4
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• pp.259-267
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• 2002

Recently, Umbrella Arch Method(UAM) is commonly used in order to enhance the stability of tunnel itself and stabilize the adjacent surface structure. But quantitative estimation of reinforcement effect is needed because UAM is designed and constructed only on the basis of empirical experience. By using 3-dimensional finite element method, parametric study is performed for elastic modulus of ground and overburden, and reinforcement effect is analyzed quantitatively. From the results, surface settlement decreases about 9%∼27% in soil tunnel, about 4%∼24% in weathered rock tunnel and 4%∼17% in soft rock tunnel when applied with UAM. The prediction equation for final surface settlement is suggested through regression analysis and the equation is expressed as exponential function which has variable Smax, unknown coefficient i and k.

• Journal of Korean Society of Steel Construction
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• v.17 no.1 s.74
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• pp.13-21
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• 2005

Advanced analysis and optimal design of steel arch bridges is presented. In the design method using an advanced analysis, separate member capacity checks after analysis are not required because the stability and strength of the structural system and its component members can be rigorously treated in the analysis. The geometric nonlinearity is considered by using the stability function. The Column Research Council tangent modulus is used to account for gradual yielding due to residual stresses. A parabolic function is used to represent the transition from elastic to zero stiffness associated with a developing hinge. An optimization technique used is a modified section increment method. The member with the largest unit value evaluated by AASHTO-LRFD interaction equation is replaced one by one with an adjacent larger member selected in the database. The objective function is taken as the weight of the steel arch bridge and the constraint functions account for load-carrying capacities and deflection requirements. Member sizes determined by the proposed method are compared with those given by other approaches.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.13 no.2
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• pp.95-109
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• 1993

In this study, the optimal configuration of arch structure has been tested by a decomposition technique. The object of this study is to provide the method of optimizing the shapes of both two hinged and fixed arches. The problem of optimal configuration of arch structures includes the interaction formulas, the working stress, and the buckling stress constraints on the assumption that arch ribs can be approximated by a finite number of straight members. On the first level, buckling loads are calculated from the relation of the stiffness matrix and the geometric stiffness matrix by using Rayleigh-Ritz method, and the number of the structural analyses can be decreased by approximating member forces through sensitivity analysis using the design space approach. The objective function is formulated as the total weight of the structures, and the constraints are derived by including the working stress, the buckling stress, and the side limit. On the second level, the nodal point coordinates of the arch structures are used as design variables and the objective function has been taken as the weight function. By treating the nodal point coordinates as design variable, the problem of optimization can be reduced to unconstrained optimal design problem which is easy to solve. Numerical comparisons with results which are obtained from numerical tests for several arch structures with various shapes and constraints show that convergence rate is very fast regardless of constraint types and configuration of arch structures. And the optimal configuration or the arch structures obtained in this study is almost the identical one from other results. The total weight could be decreased by 17.7%-91.7% when an optimal configuration is accomplished.

• Tunnel and Underground Space
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• v.9 no.1
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• pp.27-35
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• 1999

The characteristics of heat conduction for the heat source boundary like an arch shape cavern are different from those for the semi-infinite or circular boundary which can be driven theoretically. A new form of transient heat conduction equation in rock mass around the arch shape cavern is evaluated with analyzing the pattern of the rock temperature distribution measured at the cold storage pilot plant. The new equation, which is driven by adopting a shape function, $SF=\sqrt{logx_0/log(x_0+x)}$ to the solution for a semi-infinite boundary, has the semi-radial form of temperature variation with distance. And, thermal properties of rock mass are estimated by comparing the rock temperature distributions by this equation with those by measurement. Thermal conductivity and specific heat of rock mass are estimated as giving the difference of 20~25% compared to those of laboratory scale. This difference seems to be caused by discontinuity like joint and water content in rock mass.

• Tunnel and Underground Space
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• v.8 no.4
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• pp.261-274
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• 1998

The brief results of laboratory and field tests of yieldable steel arches are represented. The test supports were fabricated with three U-sectional beams which are 25.8 kg/m of Glocken profile. The structural analyses of semi-circular and arch supports were conducted to find out shape factor of U beam to be 1.35 and the location of 2nd plastic hinges. Load capacity of arch supports under crown loading were examined as a function of leg length. Yieldable characheristics of test supports were investigated with various bolting torque of connection part. Determination method of bolting torque were also studied. Finally, test supports were installed in-situ with torque of 21 kg .m, which showed a typical yielding procedure.

• Proceeding of KASS Symposium
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• 2008.05a
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• pp.107-112
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• 2008

This paper investigates the variation of post-buckling behaviours of 2-dimensional shallow arch type truss after sizing optimization. The mathematical programming technique is used to produce the optimum member size of 2D arch truss against a central point load. Total weight of structure is considered as the objective function to be minimized and the displacement occurred at loading point and member stresses of truss are used as the constraint functions. The finite difference method is used to calculate the design sensitivity of objective function with respect to design variables. The postbuckling analysis carried out by using the geometrically nonlinear finite element analysis code ISADO-GN. It is found to be that there is a huge change of post-buckling behaviour between the initial structure and optimum structure. Numerical results can be used as useful information for future research of large spatial structures.