• The Korean Journal of Financial Management
• /
• v.25 no.4
• /
• pp.79-116
• /
• 2008

This paper examines and estimates GARCH-VaR models (RiskMetrics, GARCH, IGARCH, GJR and APARCH) with three different distributions such as Gaussian normal, Student-t, Skewness Student-t Distribution using the daily price data from Korean Stock Market during Jan. 1, 1980-Sept. 30, 2004. It also compares them. In-sample test, this finds that for all confidence level as $90%{\sim}99.9%$, the performance and accuracy of IGARCH with ${\lambda}=0.87$ and skewness Student-t distribution are superior to other models and distributions in long position, but GARCH and GJR with Skewness Student-t distribution in short position. For above 99% confidence level, the performance and accuracy of IGARCH with ${\lambda}=0.87$ in both long and short positions are superior to other models and distributions, but Skewness Student-t distribution for long position and Student-t distribution for short position are more accuracy and superior to other distributions. In-out-of sample test, these results also confirm the evidences that the above findings are consistent as well.

• International Area Studies Review
• /
• v.12 no.2
• /
• pp.3-26
• /
• 2008

This article investigates the usefulness of the skewed Student-t distribution in modeling the long memory volatility property that might be present in the daily returns of two Australian financial series; the ASX200 stock index and AUD/USD exchange rate. For this purpose we assess the performance of FIGARCH and FIAPARCH Value-at-Risk (VaR) models based on the normal, Student-t, and skewed Student-t distribution innovations. Our results support the argument that the skewed Student-t distribution models produce more accurate VaR estimates of Australian financial markets than the normal and Student-t distribution models. Thus, consideration of skewness and excess kurtosis in asset return distributions provides appropriate criteria for model selection in the context of long memory volatility models in Australian stock and foreign exchange markets.

• Journal of Environmental Impact Assessment
• /
• v.23 no.4
• /
• pp.285-295
• /
• 2014

In this study, we analyzed probability distribution of EMCs (Event Mean Concentration) of COD, TOC, T-N, T-P and SS from rice paddy fields and compared the mean values of observed EMCs and the median values of estimated EMCs ($EMC_{50}$) through probability distribution. The field monitoring was conducted during a period of four crop-years (from May 1, 2008, to September 30. 2011) in a rice cultivation area located in Emda-myun, Hampyeong gun, Jeollanam-do, Korea. Four probability distributions such as Normal, Log-normal, Gamma, and Weibull distribution were used to fit values of EMCs from rice paddy fields. Our results showed that the applicable probability distributions were Normal, Log-normal, and Gamma distribution for COD, and Normal, Log- Normal, Gamma and Weibull distribution for T-N, and Log-normal, Gamma and Weibull distribution for T-P and TOC, and Log-normal and Gamma distribution for SS. Log-normal and Gamma distributions were acceptable for EMCs of all water quality constituents(COD, TOC, T-N, T-P and SS). Meanwhile, mean value of observed COD was similar to median value estimated by the gamma distribution, and TOC, T-N, T-P, and SS were similar to median value estimated by log-normal distribution, respectively.

• Journal of Korean Society of Forest Science
• /
• v.100 no.1
• /
• pp.95-104
• /
• 2011

Distribution types of native conifers (Juniperus chinensis, Pinus parviflora, Tusga sieboldii and Taxus cuspidata var. latifolia) were studied by phytosociological investigation and ZM method in Ulleung Island, South Korea. Two main types were divided maritime vegetation (Juniperus chinensis forest) and mountain vegetation (Taxus cuspidata var. latifolia forest and Pinus parviflora-Tusga sieboldii forest). The former was divided into sea cliff distribution (J-SC) and sea ridge distribution (J-SR) type. The latter was classified 7 distribution types; Taxus cuspidata var. latifolia forest was rock distribution (Ta-R) and mountain slope distribution (Ta-MS) type, and Pinus parviflora-Tusga sieboldii forest was rock distribution (P T-R), upper and ridge distribution (P T-UR, 3 units sub-types:1sub, 2sub, 3sub), and Mountain slope distribution (P T-MS) type. It was considered that J-SC, Ta- R, and P T-R were maintained by topographic climax, but J-SR, Ta-MS, P T-UR and P T-MS were the process of vegetation succession. Distribution types of topographic climax are entrusted to process of vegetation succession. Types in the process of vegetation succession will be needed tending of forest to promote saplings growth and seedlings germination. Especially in order to restore Tsuga sieboldii forest should be afforest and make forest gap because It is mid shade tolerant tree and purity percentage of its seed is 1~2%. It was considered that the composition of group mixture forest constituted Pinus parviflora, Tsuga sieboldii, Taxus cuspidata, Camellia japonica, Machilus thunbergii and Acer okamotoanum, etc. will be able to restore native vegetation, after take the form of forest gap by strong thinning and pruning of Pinus thunbergii forest.

• The Korean Journal of Applied Statistics
• /
• v.30 no.5
• /
• pp.775-791
• /
• 2017

We frequently encounter binary data in real life. Logistic, Probit, Cauchit, Complementary log-log models are often used for binary data analysis. In order to analyze binary data, Liu (2004) proposed a Robit model, in which the inverse of cdf of the Student's t distribution is used as a link function. Kim et al. (2008) also proposed a generalized t-link model to make the binary regression model more flexible. The more flexible skewed distributions allow more flexible link functions in generalized linear models. In the sense, we propose a binary data regression model using skewed generalized t distributions introduced in Theodossiou (1998). We implement R code of the proposed models using the glm function included in R base and R sgt package. We also analyze Pima Indian data using the proposed model in R.

• Parasites, Hosts and Diseases
• /
• v.34 no.4
• /
• pp.215-224
• /
• 1996

actin and some actin binding proteins such as tropomyosin, α-actinin and troponin T were localized by simultaneous double immunogold labeling in several developmental stages of Cryptosporidium parvum. All of the observed developmental stages have many paricles of tropomyosin and actin around pellicle and cytoplasm. Tropomyosin was labeled much more than the actin when these two proteins were labeled simultaneously. And α-actinin was labeled mostly in the pellicle, but troponin T labeling weas very rarely observed. From this study it was suggested that tropomyosin seemed to be one of the major proteins of C. parvum, so it must be playing important roles in C. parvum.

• The Korean Journal of Applied Statistics
• /
• v.30 no.3
• /
• pp.363-376
• /
• 2017

The insurance market is saturated and its growth engine is exhausted; consequently, the insurance industry is now in a low growth period with insurance companies that face a fierce competitive environment. In such a situation, it will be an important issue to find the probability distributions that can explain the flow of insurance claims, which are the basis of the actuarial calculation of the insurance product. Insurance claims are generally known to be well fitted by lognormal distributions or Pareto distributions biased to the left with a thick tail. In recent years, skew normal distributions or skew t distributions have been considered reasonable distributions for describing insurance claims. Cooray and Ananda (2005) proposed a composite lognormal-Pareto distribution that has the advantages of both lognormal and Pareto distributions and they also showed the composite distribution has a higher fitness than single distributions. In this paper, we introduce new composite distributions based on skew normal distributions or skew t distributions and apply them to Danish fire insurance claim data and US indemnity loss data to compare their performance with the other composite distributions and single distributions.

• Environmental and Resource Economics Review
• /
• v.16 no.4
• /
• pp.947-978
• /
• 2007

In this paper, we investigated a Value-at-Risk approach to the volatility of two crude oil markets (Brent and Dubai). We also assessed the performance of various VaR models (RiskMetrics, GARCH, IGARCH and FIGARCH models) with the normal and skewed Student-t distribution innovations. The FIGARCH model outperforms the GARCH and IGARCH models in capturing the long memory property in the volatility of crude oil markets returns. This implies that the long memory property is prevalent in the volatility of crude oil returns. In addition, from the results of VaR analysis, the FIGARCH model with the skewed Student-t distribution innovation predicts critical loss more accurately than other models with the normal distribution innovation for both long and short positions. This finding indicates that the skewed Student-t distribution innovation is better for modeling the skewness and excess kurtosis in the distribution of crude oil returns. Overall, these findings might improve the measurement of the dynamics of crude oil prices and provide an accurate estimation of VaR for buyers and sellers in crude oil markets.

• The Korean Journal of Applied Statistics
• /
• v.2 no.1
• /
• pp.48-53
• /
• 1989

In contrast to the customary approximations based on standard normal percentage points, direct approximations involve simple functions of parameters (such as degrees of freedom and tail area of the t distributions). This article used techniques of exploratory data analysis following Hoaglin to develop direct approximations for percentage points in the commonly used portions of upper tail of the t distribution with small to moderate numbers of degrees of freedom. These approximations are convenient to use and they compare favorably in accuracy with the popular approximations based on standard normal percentage points such as Peiser's. They can be used as an initial value generator in algorithms for getting more accurate percentage points.

• The Korean Journal of Nuclear Medicine
• /
• v.30 no.1
• /
• pp.95-103
• /
• 1996

Reverse redistribution(RRD) refers to a perfusion defect that develops or becomes more evident on rest imaging compared with the stress imaging. This phenomenon was not uncommonly noted on myocardial perfusion single photon emission computed tomography (SPECT). However, the clinical significance and pathophysiological mechanism of RRD were unclear. The aim of this study was to evaluate the incidence and clinical significance of RRD on either dipyridamole T1-201 or Tc-99m MIBI myocardial perfusion SPECT. RRD was defined as ${\geq}10%$ decrease in relative T1-201 and Tc-99m MIBI uptakes on rest images compared to the stress images or as an appearance of new perfusion defects on rest images. It was observed in both T1-201 (44/463, 9.5%) and Tc-99m MIBI (124/999, 12.4%) myocardial SPECTs similarly, with an overall incidence of 11.5%(168/1462). Many apparent)y unrelated disease groups showed the finding: post-revascularization(53.9%), coronary artery disease(24.6%), myocardial infarction(12.3%), and those with normal coro-nary arteries (9.2%). Clinical and angiographic characteristics of 65 consecutive patients who underwent coronary arteriography in 168 patients who had RRD on myocardial perfusion SPECT were reviewed. Tc-99m MIBI was used in 44 patients, and T1-201 was used in 21 patients. Of the 81 myocardial segments analyzed which showed RRD, 32 segments(39.5%) were in septum, 24(29.5%) in inferior wallL, 12(14.8%) in anterior wall, 7(8.7%) in apex and 6(7.4%) in lateral wall. There was no clear association between RRD and coronary arterial stenosis or Presence of collateral circulations. Ventriculographical wall motion was evaluated in 27 regions with RRD; it was normal in 12 regions, hypokinetic in 12 regions and dyskinetic in 3 regions. In 14 of 21 patients who showed RRD on T1-201 myocardial SPECT, T1-201 reinjection was performed immediately after the 3-4 hour redistribution studies. Ten of 14 (71.4%) showed enhanced T1-201 activity(${\geq}10%$ increased) after reinjection. We conclude that RRD is not related to mode of stress or radiopharmaceuticals. RRD might represent many inhomogeneous pathophysiological processes.