• Title/Summary/Keyword: fARCH

Search Result 50, Processing Time 0.022 seconds

Functional ARCH (fARCH) for high-frequency time series: illustration (고빈도 시계열 분석을 위한 함수 변동성 fARCH(1) 모형 소개와 예시)

  • Yoon, J.E.;Kim, Jong-Min;Hwang, S.Y.
    • The Korean Journal of Applied Statistics
    • /
    • v.30 no.6
    • /
    • pp.983-991
    • /
    • 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.

Functional ARCH analysis for a choice of time interval in intraday return via multivariate volatility (함수형 ARCH 분석 및 다변량 변동성을 통한 일중 로그 수익률 시간 간격 선택)

  • Kim, D.H.;Yoon, J.E.;Hwang, S.Y.
    • The Korean Journal of Applied Statistics
    • /
    • v.33 no.3
    • /
    • pp.297-308
    • /
    • 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.

Volatility for High Frequency Time Series Toward fGARCH(1,1) as a Functional Model

  • Hwang, Sun Young;Yoon, Jae Eun
    • Quantitative Bio-Science
    • /
    • v.37 no.2
    • /
    • pp.73-79
    • /
    • 2018
  • As high frequency (HF, for short) time series is now prevalent in the presence of real time big data, volatility computations based on traditional ARCH/GARCH models need to be further developed to suit the high frequency characteristics. This article reviews realized volatilities (RV) and multivariate GARCH (MGARCH) to deal with high frequency volatility computations. As a (functional) infinite dimensional models, the fARCH and fGARCH are introduced to accommodate ultra high frequency (UHF) volatilities. The fARCH and fGARCH models are developed in the recent literature by Hormann et al. [1] and Aue et al. [2], respectively, and our discussions are mainly based on these two key articles. Real data applications to domestic UHF financial time series are illustrated.

The effect of arch geometry on the structural behavior of masonry bridges

  • Altunisik, Ahmet C.;Kanbur, Burcu;Genc, Ali F.
    • Smart Structures and Systems
    • /
    • v.16 no.6
    • /
    • pp.1069-1089
    • /
    • 2015
  • Arch bridges consist of some important components for structural behavior such as arches, sidewalls, filling materials and foundations. But, arches are the most important part for this type of bridges. For this reason, investigation of arch is come into prominence. In this paper, it is aimed to investigate the arch thickness effect on the structural behavior of masonry arch bridges. For this purpose, Goderni historical arch bridge which was located in Kulp town, Diyarbakir, Turkey and the bridge restoration process has still continued is selected as an application. The construction year of the bridge is not fully known, but the date is estimated to be the second half of the 19th century. The bridge has two arches with the 0.52 cm and 0.69 cm arch thickness, respectively. Finite element model of the bridge is constructed with ANSYS software to reflect the current situation using relievo drawings. Then the arch thickness is changed by increasing and decreasing respectively and finite element models are reconstructed. The structural responses of the bridge are obtained for all arch thickness under dead load and live load. Maximum displacements, maximum-minimum principal stresses and maximum-minimum elastic strains are given with detail using contours diagrams and compared with each other to determine the arch thickness effect. At the end of the study, it is seen that the maximum displacements, tensile stresses and strains have a decreasing trend, but compressive stress and strain have an increasing trend by the increasing of arch thickness.

Creep analysis of concrete filled steel tube arch bridges

  • Wang, Y.F.;Han, B.;Du, J.S.;Liu, K.W.
    • Structural Engineering and Mechanics
    • /
    • v.27 no.6
    • /
    • pp.639-650
    • /
    • 2007
  • Applying the method calculating creep of Concrete Filled steel Tube (CFT) members based on the Elastic Continuation and Plastic Flow theory for concrete creep with the finite element method, the paper develops a new numerical method for the creep of CFT arch bridges considering effects of bending moment. It is shown that the method is feasible and reasonable through comparing the predicted stresses and deflection caused by the creep with the results obtained by the method of Gu et al. (2001) based on ACI209R model and experimental data of an actual CFT arch bridge. Furthermore, nine CFT arch bridges with different types are calculated and analyzed with and without the effects of bending moment. As a result, the bending moment has considerable influences on long-term deformations and internal forces of CFT arch bridges, especially when the section of arch rib is subjected to a large bending moment.

MEASUREMENT OF THE DENTAL ARCH DIMENSION IN KOREAN YOUNG ADULTS. (한국인청년남자의 치궁에 관한 계측)

  • Kim, Yeong-Hae
    • The Journal of the Korean dental association
    • /
    • v.13 no.1
    • /
    • pp.33-36
    • /
    • 1975
  • To determine the dental arch length and width in Korean yaung adults, various points (shown on Fig 1) were measured by means of Boley gauge on the 124 plaster models which obtained from 2 young men. The measurements value were as follows: A : 36.10㎜ a : 25.53㎜ B : 33.35㎜ b : 28.20㎜ C : 39.80㎜ c : 33.07㎜ D : 43.36㎜ d : 36.36㎜ E : 44.80㎜ e : 39.12㎜ F : 49.11㎜ f : 42.48㎜ G : 59.98㎜ g : 44.92㎜ H : 62.22㎜ h : 57.85㎜ I : 52.66㎜ i : 49.91㎜

  • PDF

Creep effects on dynamic behavior of concrete filled steel tube arch bridge

  • Ma, Y.S.;Wang, Y.F.;Mao, Z.K.
    • Structural Engineering and Mechanics
    • /
    • v.37 no.3
    • /
    • pp.321-330
    • /
    • 2011
  • Long-term properties of concrete affect structures in many respects, not excepting dynamic behaviors. This paper investigates the influence of concrete creep on the dynamic behaviors of concrete filled steel tube (CFT) arch bridges, by means of combining the analytical method for the creep of axially compressed CFT members, which is based on Model B3 for concrete creep, with the finite element model of CFT arch bridges. By this approach, the changes of the stress and strain of each element in the bridge with time can be obtained and then transformed into damping and stiffness matrices in the dynamic equation involved in the finite element model at different times. A numerical example of a long-span half-through CFT arch bridge shows that creep influences the natural vibration characteristics and seismic responses of the bridge considerably, especially in the early age. In addition, parameter analysis demonstrates that concrete composition, compressive strength and steel ratio have an obvious effect on the seismic response of the CFT arch bridge.

Structural Behaviors for Pressurized Fabric Leaning Arches

  • Kim, Jae Yeol
    • Architectural research
    • /
    • v.3 no.1
    • /
    • pp.45-52
    • /
    • 2001
  • In this paper, a pressurized single vertical arch and a pressurized leaning arch composed of flexible fabric material are considered. These arches have also been considered as a possible support structure for the tent-like structures. Two different boundary conditions are considered in leaning arches with fixed bases and pinned bases. The behaviors of the leaning arches are investigated for two tilt angles as 15, 30. For each angle, two loading conditions are considered as uniformly distributed load and wind loads. The F.E.M. is used through the all analysis procedures. For the results, load-deflection relationships, buckling modes, differences between two boundary conditions and deformed configurations are discussed.

  • PDF

Unusual Presentation of a Penetrating Aortic Arch Injury

  • Vural, Fikret Sami;Patel, Atul Kumar;Mustafa, Kashif
    • Journal of Chest Surgery
    • /
    • v.50 no.4
    • /
    • pp.295-297
    • /
    • 2017
  • A 27-year-old man was admitted with a penetrating injury at the mid-manubrium. Computed tomographic (CT) angiography showed a f illing def ect in the aortic arch. This was evaluated as a sign of injury and the patient underwent an emergency operation. No active bleeding or clot was f ound in the mediastinum during the operation. The laceration point was between the innominate and the left carotid artery posteriorly. The injury was approached using hypothermic circulatory arrest. Aortotomy and exploration showed a 2-cm-long full-thickness aortic injury with an overlying clot. A filling defect on angiography as a sign of a penetrating arch injury has never been reported previously, but was the main pathological finding on CT angiography in our case. The aorta is a high-pressure system and injuries to it should be treated aggressively.

A STUDY ON THE CORELATIVITY BETWEEN THE HEAD AND FACE AND THE MAXILLARY ARCH IN KOREAN (한국인 두부, 안면과 상악치궁의 크기 및 형태에 관한 비교 연구)

  • Lee, Soo Ryong;Ryu, Young Kyu
    • The korean journal of orthodontics
    • /
    • v.13 no.1
    • /
    • pp.105-114
    • /
    • 1983
  • the author studied the corelativity between the head and face and the maxillary arch in Korean. This study was undertaker in 336 persons at age from 9 to 19 years who had normal occlusion by means of angle's classification. The following results were obtained. 1. The corelative coefficient between the Height of Head and Face (H.H.F.) and the Arch Length (A.L.) was 0.203-0.543, 2. The corelative coefficient between the Bizygomatic width (Z.W.) and the Bicanine width (C-C) was 0.203-0.543. 3. The corelative coefficient between the Bizygomatic width (Z.W.) and the Bimolar width (M-M) was 0.206-0.600. 4. The corelative coefficient between the Face shape (Index a) and Maxillaxy arch shape (In-dex c) was 0.232-0.404. 5. The corelative coefficient between the Face shape (Index a) and Maxillary arch shape (Index d) was 0.221-0.401. 6. There was no corelativity between the Anterior-posterior width of head (A.P.W.) and Arch Length A.L.), Head shape (Index b) and Maxillary arch shape (Index c, Index d).

  • PDF