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GARCH분산국면전환(GARCH Variance Regime Switching) 모형을 이용한 한국 주식시장의 변동성 분석
박병기(Byoung-Gi Park),신용재(Yong-Jae Shin),이준희(Joon-Hee Rhee),박훈(Hoon Park) 한국산업경제학회 2014 산업경제연구 Vol.27 No.2
본 연구는 한국 주식시장을 대상으로 국면전환이 존재하는지, 그리고 존재한다면 각 국면에서 수익률 변동성이 어떠한 형태를 보이는지를 살펴보았다. 이를 위하여 본 연구에서는 1995년 1월 3일부터 2012년 7월 31일까지의 기간에서 KOSPI의 주별 수익률 자료를 이용하여 지속분산국면전환(constant variance regime switching)모형과 GARCH분산국면전환(GARCH variance regime switching)모형을 이용하여 변동성을 분석하였다. 주요 연구결과는 다음과 같다. 첫째, KOSPI 시장에는 안정기와 불안정기로 구분되는 두 개의 국면이 존재하는 것으로 나타났다. 둘째, 조건부 분산분석의 결과, KOSPI 시장의 변동성에서 GARCH 효과가 발견되었다. 셋째, 국면전환모형과 GARCH모형을 결합한 GARCH 분산국면전환모형을 이용하여 변동성을 분석한 결과, 각 국면에서도 GARCH 효과가 존재하였다. 넷째, GARCH분산국면전환모형이 지속분산국면전환모형에 비해 모형적합도가 높은 것으로 나타났다. 다섯째, 우리나라 주식시장은 장기간에 걸쳐 안정기와 불안정기를 전환하면서 반복하여 왔으며 주식시장의 변동성은 불안정기에서 더욱 증가한 것으로 나타났다. 이러한 결과는 주식시장의 하락기에서 위험관리에 더욱 치중해야 함과 아울러 국내 주식시장을 안정시킬 수 있는 제도적 조치가 필요함을 시사한다. We adopt the constant variance regime switching model and GARCH variance regime switching model to estimate the KOSPI returns. Our sample data cover from January 3rd 1995 until July 31st 2012. The results are as follows. First, there exist two distinct regimes of Korean stock market. The two regimes consist of so called the stable period and unstable period of the stock market. Second, there also exist GARCH effects in the conditional variance of stock returns. Third, the GARCH variance regime switching model slightly outperforms the constant variance regime switching model. The results implicate that the risk management is more important in the declining period of stock market and consequently that the institutional risk managemental tools for stabilizing market volatility in the unstable stock market period should be required.
So-Hee Lee(이소희),Jong-Suh Shin(신종서),Sung-Myoun Cho(조성면),Gi-Hwal Son(손기활),Eui-Kyung Lee(이의경),Nam-Oh Kim(김남오),Byoung-Ki Park(박병기) 한국산학기술학회 2024 한국산학기술학회논문지 Vol.25 No.1
This study was conducted to determine the effects of dam parity on the growth performance, carcass characteristics, and economic efficacy of Hanwoo steers. 344 Hanwoo calves were divided into five groups based on dam parity (1-2, 3-4, 5, 6, and ≥ 7). Dam’s concentrates feed and roughage were feed twice per day and water was freely available. Calf-starter and roughage were provided one week after birth. Calves and dams were managed in the same pens until the pre-weaning stage and other feeding management was conducted in accordance with the practices of the Gangwon Livestock Technology Research Institute. ADG was higher in the 5 and 6 parity groups compared to the ≥ 7 parity group throughout the experiment (p<0.05). Wither height, rump height, chest girth, and pelvic width of calves at birth showed a positive correlation with dam parity (p<0.05). Body weight and all body conformation traits of 3-month-old calves had positive correlations with dam parity (p<0.05). Net income was higher in the 3-4, 5, and 6 parity groups compared to the 1-2 parity group. Therefore, this study suggests extending the dam parity of Hanwoo cows from the current 2.5 to 5 or 6, considering the increased birth weight, growth performance, and farmers net income.
박대원,정종식,박대철,박병기 한국화학공학회 1991 Korean Chemical Engineering Research(HWAHAK KONGHA Vol.29 No.6
여러 가지 Mo 촉매 존재하에서 allyl chloride를 tert-butyl hydroperoxide로 액상 epoxidation시키는 연구가 회분식반응기를 이용하여 이루어졌다. 반응은 1,1,2,2-tetrachloroethane 용액중에서 반응온도 53-76℃, 상압, 촉매농도 1.5×10^(-3)몰의 조건에서 수행하였으며, MoO₂(acetylacetone)₂와 MoCl_5가 활성 및 선택성면에서 가장 좋은 촉매로 나타났다. Epoxidation은 부반응 생성물인 tert-butyl alcohol, 피리딘 등과 같은 Lewis 염기에 의하여 매우 심하게 활성이 저하되었다. MoO₂(acetylacetonate)₂ 촉매계에 대한 반응속도 자료를 얻었으며, Michaelis-Menten 속도론으로 나타낼 수 있었다. Homogeneous liquid phase epoxidation of allyl chloride with tert-butyl hydroperoxide was carried out in the presence of various Mo catalysts in a batch reactor. The reaction has been carried out at 53-76℃ and 1 atm with 1.5×10^(-3) ㏖/liter of catalyst in 1,1,2,2-tetrachloroethane solution. MoO₂(acetylacetonate)₂ and MoCl_5 were found to be the most active and selective catalyst. The epoxidation was strongly inhibited by Lewis base such as tert-butyl alcohol, pyridine and water. Kinetic data were obtained for the MoO₂(acetylacetonate)₂ catalyst system and could be represented by Michaelis-Menten kinetics.