The impact of sudden changes on volatility persistence and asymmetry in Chinese stock markets

Sang Hoon Kang,Seong-Min Yoon 한국재무학회 2010 한국재무학회 학술대회 Vol.2010 No.05

This study has investigated sudden changes of volatility and examined the volatility asymmetry and persistence for the Shanghai and Shenzhen indices. In an effort to assess the impact of sudden changes in volatility asymmetry and persistence, we identify the time points at which sudden changes in volatility occur, and then incorporate this information into the GARCH and GJR-GARCH models. Using the ICSS algorithm, we found that the identification of sudden changes is largely associated with domestic and global events. When these sudden changes are incorporated into GARCH and GJR-GARCH models, the evidences of asymmetry and persistence has been vanished in the volatility of both markets. In addition, out-ofsample analysis confirms that volatility models with incorporating sudden changes provide more accurate one-step-ahead volatility forecasts than their counterparts without sudden changes.

북한의 급변사태 및 대량탈북에 따른 경찰 대응방안 연구

남재성(Nam Jae Sung),이창무(Lee Chang Moo) 한국공안행정학회 2013 한국공안행정학회보 Vol.22 No.1

국내외를 불문하고 김정은 체제에 대한 심각한 우려가 제기되고 있는 현실에 비추어 볼 때 가까운 장래에 북한의 급격한 정세변화와 대한민국에 대한 잠재적 위해요소의 등장은 우리가 반드시 겪게 될 현실이고 반드시 막아야할 문제라는 점에서 개방된 사고로 모든 가능성을 염두하고 대책을 수립해야 한다. 따라서 이 연구에서는 국가 차원뿐만 아니라 세부적으로 경찰 차원에서, 김정은 체제 이후 예상되는 북한 내부의 권력투쟁과 그에 따른 사회적 혼란 및 잠재적 위해요소, 그리고 그로 인한 북한 주민의 대량 탈북사태와 국내 유입 등 치안과 안보위해 상황을 다각도로 검토해보고 무엇보다도 경찰의 대응방안을 중심으로 대책을 마련하고자 하였다. 연구결과 여러 위협 변수들에도 불구하고 현 상태에서 당장 급격한 변화와 북한 정권의 붕괴 가능성은 높지 않다고 보인다. 하지만 북한체제의 특성상, 북한의 급변사태가 언제든 발생할 수 있다는 측면에서 항상 예의주시해야 할 것이며, 경찰은 북한의 급변사태에 따라 대량 탈북사태가 발생했을 경우 신속히 대응할 수 있는 즉응적 대비태세를 갖추어야 할 것이다. 특히, 이에 대한 대비태세는 대량 탈북 등 급변사태 발생이전의 사전적 역량강화 방안, 평시상황이지만 준 급변사태 발생단계에서 나타날 수 있는 대량 탈북사태 대응 방안, 급변사태 발생시의 대량 탈북사태 대응 방안 등으로 구분하여 수립하는 것이 타당할 것이다. 따라서 향후 보안경찰은 이 세 가지의 대응방안을 중심으로 조직적, 인력적 역량을 강화하고 대응을 위한 세부 시나리오를 마련하는 등 대량탈북 사태와 같은 북한의 급변사태에 신속히 대응할 수 있는 철저한 준비태세를 확립해야 할 것이다. In the midst of present situation where a serious concern is being raised at the national and international level on Kim Jong-un regime, it is inevitable that we will certainly experience North Korea's sudden changes in the state of affairs and the appearance of potentially dangerous elements towards South Korea against which we must defend. Accordingly, we must develop measures of responses for every possibility with open mind. The purpose of this study, accordingly, was to extensively examine not only at the national level but also at the specific level of the police the North Korean power struggle and according social disorder, potentially dangerous elements, massive defections of North Koreans and their inflow to South Korea and situations that present risk to public order and national security in order to develop various measures of responses centering on the response of the police. The study result shows that in spite of numerous variables of threat, the possibility of immediate and sudden changes in North Korea and the collapse of its regime does not appear to be high. According to the characteristics of the North Korea regime, however, there is a need for constant and close watch in the sense that sudden changes could occur at anytime in North Korea. Additionally, it was found that it would be necessary for the police to be equipped with instant readiness for swiftly responding to any massive defections of North Koreans according to sudden changes in North Korea. It was revealed that it would be appropriate to develop measures of responses by dividing them into a preemptive measure of reinforcing capabilities prior to the occurrence of sudden changes such as massive defections, a response measure against massive defections that could occur at the stage of semi-sudden changes during peacetime situation and a response measure against massive defections that occurs at the occurrence of sudden changes. Accordingly, it would be necessary for the security police to establish through readiness for swiftly responding to sudden changes in North Korea such as massive defections such as reinforcing organizational and personnel capabilities and develop specific scenarios of response centering on the three types of measures of responses mentioned above.

Sudden Changes and Long Memory: Forecasting the Volatility of Asian Stock Markets

강상훈,윤성민 포스코경영연구소 2012 POSRI경영경제연구 Vol.12 No.3

This study examines the impact of sudden changes on volatility persistence, or the long memory property, in six Asian stock markets: Hong Kong, Korea, Indonesia, Malaysia, Thailand, and Singapore. We examine sudden changes associated with global financial and political events, specifically, the 1997 Asian currency crisis, the 1998 Russia crisis, the IT dot com bubbles of 2000, the 9/11 terror attack of 2001, and the recent financial crisis of 2007-2010(sub-prime mortgage crisis and Lehman Brothers bankruptcy). When these sudden changes are incorporated into GARCH and FIGARCH models, the evidence of persistence or the long memory property vanishes from volatility. This result suggests that ignoring the effect of sudden changes overestimates volatility persistence. In addition, out-of-sample analysis confirms that volatility models, which incorporate sudden changes, provide more accurate one-step-ahead volatility forecasts than their counterparts without sudden changes. Thus, incorporating information on sudden changes in conditional variance may improve the accuracy of estimating volatility dynamics and forecasting future volatility for researchers and investors.

북한 급변사태 논의의 역설

안경모(Kyung-Mo Ahn) 고려대학교 일민국제관계연구원 2016 국제관계연구 Vol.21 No.2

본 연구는 북한 급변사태와 관련한 제 논의를 검토하고 이를 비판적으로 평가함으로써 해당 논의가 보다 현실적이고 적절한 방향에서 이루어지기 위한 하나의 제언을 마련하려는 시도이다. 이를 위해 본 연구에서는 먼저 급변사태와 관련한 기존 논의를 주로 정부와 언론을 통해 생산 및 유통되며 급변사태의 발생 가능성에 대한 주장을 중심으로 한 담론으로서의 급변사태론과 급변사태에 대한 학문적/전문적 연구로 나누어 검토한다. 양자는 밀접히 연동되어 있으나 주체와 내용, 그리고 함의에서 일정한 차이를 보여 왔기 때문이다. 특히 본 연구는 후자에 대한 평가를 바탕으로 다음과 같은 주장을 제시하고자 한다. 첫째, 북한 급변사태와 관련된 기존 연구 중 상당수는 급변사태를 북한의 완전한 무정부상태, 즉 북한 부재상태로 간주하는 과도한 가정을 전제로 이루어져 왔다. 둘째, 이와 같은 편향은 급변사태가 통일론으로 자리매김하기 위한 핵심적 변수로서 북한, 특히 인민을 간과하는 경향을 낳아왔다. 셋째, 따라서 향후 급변사태에 대한 연구는 급변사태에 대한 개념 수정을 통해 북한 인민의 지지와 협조를 어떻게 확보할 것인가라는 주제를 포괄하는 방향으로 개선될 필요가 있다. The purpose of this study is to propose a new approach that may make discussions about North Korean sudden change more appropriate and practical. To achieve this, it first analyzes and reviews the existing ones. This study examines them by using two groups. One is ‘the sudden change disourse,’ distributed from government and the media, which mainly says possibilities that some sudden changes could happen in North Korea. The others are academic and professional studies. Those two groups are closely related, but there is also a certain gap in contents and meanings. This paper makes 3 following proposals mainly based upon the assessment of the latter group. First, there are inaccurate assumptions that sudden change in North Korea means an entire anarchy or non-existence of government. Second, due to this skewed perception, North Korea, especially its people, have been overlooked among key variables. Lastly, following studies about sudden change need to focus on how to gain support and cooperation from people in North Korea by revising the concept for sudden change.

북한 급변사태시 중국의 개입과 한국의 대응책

소치형 국가안보전략연구원 2014 신안보연구 Vol.- No.180

‘Situation of sudden change’ refers to the rapid and extensive critical change in terms of speed and depth. In essence, the term ‘collapse’ retains an interrelationship with situation of sudden change. Collapse also means state collapse with respect to its economic and political system, losing the status as independent nation. The situation of sudden change in North Korea will emerge in the form of uprising of public, coup attempt by internal military coup d'tat, war-mongering followed by destruction of system, Jungeun Kim’s regime exile, and possibly other more consequences. The situation of sudden collapse in North Korea may likely provoke Chinese intervention. First, it may arise in the form of indirect intervention by armed protest which may lead to (1) division of internal elite group and (2) weakening of Jungeun Kim’s leadership power. Second, it may emerge as a direct intervention by the use of armed forces which involves military coup d'tat. These are too possible scenarios. To provide against the situation of sudden collapse in North Korea, South Korea needs to plan some measures. (1) It is necessary to seek a way to keep China in check through UN intervention. (2) This is a way to arrange routine security dialogue between Korea and China. (3) The aid project for North Korea in terms of humanitarian needs have to be extensively carried out. (4) It is necessary to keep constant watch on any attempt of alienation by the public in North Korea and seek ways to inculcate amity for South Korea. (5) ‘Choongmu3300’ project specially designed by South Korea for North Korean defectors needs to be well elaborated with pragmatic contents. ‘급변사태(situation of sudden change)'는 속도와 심도에 있어 급속하고도 광범위한 위기적 변화를 뜻한다. ‘붕괴(collapse)’도 급변사태와 상관성을 지니고 있다. 붕괴는 경제체제나 정치체제 그리고 주권국가로서의 국가의 붕괴를 의미하기도 한다. 북한에서의 급변사태 시나리오는 경제난 심화에 따른 민중봉기 발생, 군부내의 쿠데타 시도, 전쟁 도발과 그에 따른 체제 붕괴, 김정은 정권의 망명(亡命) 등의 형태로 나타날 것이다. 북한 급변사태시 중국의 개입가능성은 매우 크다. 첫째, 무력시위 차원의 간접적 개입유형으로는 (1) 엘리트 집단 내부의 분열 (2) 김정은 지도력의 약화를 들 수 있다. 둘째, 무력행사 차원의 직접적 개입유형으로는 군부 쿠데타가 있다. 이들 모두는 가능한 시나리오이다. 한국은 북한의 급변사태 발생에 대비하여 몇 가지 방안을 제시해야 한다. (1)UN의 개입을 통한 중국 견제 방안을 모색할 필요가 있다. (2)한·중 간에 정례적인 안보대화 기회를 마련하는 일이다. (3)인도적 차원에서의 대북 지원은 보다 확대 추진되어야 한다. (4) 북한 주민들의 민심 이반을 주시하고 한국에 대하여 우호관을 심어주는 방안을 모색해야 한다. (5)탈북자들을 주 대상으로 계획된 한국 측의 ‘충무3300’(Choongmu3300)을 보다 실용적인 내용으로 다듬어야 한다.

북한의 ‘급변사태’에 대비한 인도적 지원체계 구축방안

김정수 사단법인 한국평화연구학회 2015 평화학연구 Vol.16 No.1

North Korean sudden change scenario, which began to be discussed with the fall of the socialist system, has been suggested in various ways. It can be said that the contents of the discussion and their depth have inevitably been improved so far. However, the rapidly changing North Korean situation is a serious issue to be studied about with great deliberation. It’s very dangerous to reason that North Korean sudden change would bring the unification of Korean Peninsula before long. Above all, there is a probability of provoking North Korea and making China sensitive. South Korea has little room for intervention even if North Korea suffers sudden change. Geopolitical environment of the Korean Peninsula and international law account for it. Thus, this paper aims to come up with some ways to provide humanitarian assistance, after inquiring into the previous researches regarding the situation of sudden change in North Korea and presenting possible scenarios 사회주의체제의 몰락과 함께 논의되기 시작한 북한의 급변사태 시나리오는 다양하게 제시되었다. 북한 최고지도자의 사망, 식량부족, 탈북자 증가, 심지어 군사쿠데타 등을 원인으로 꼽았다. 그러나 이러한 변수들의 가능성, 타당성, 그리고 이에 따른 시나리오는 어떻게 진행될 것인지 등에 관한 연구는 찾아보기 어렵다. 더구나 각 시나리오별로 어떻게 준비해야 하는가를 제시한 연구는 거의 없다고 해도 과언이 아니다. 북한의 급변사태가 곧 한반도의 통일을 가지고 온다는 인식은 바람직하지 않다. 당사국인 북한을 자극하고 , 중국을 예민하게 할 수 있다. 북한의 급변사태가 발생하더라도 남한의 개입은 매우 제한적일 수밖에 없다. 한반도의 지정학적 환경과 국제법이 그러하다. 따라서 이 연구는 그동안의 북한 급변사태 관련한 연구들을 검토하고, 가능성 있는 시나리오를 제시한 뒤 그에 따른 ‘인도적 지원’을 어떻게 할 것인지를 제시하기 위하여 작성되었다.

북한이탈주민의 실상과 군사적 활용방안 연구 -북한 급변사태 발생을 대비하여-

이원희 ( Weon Hee Lee ) 미래군사학회 2013 한국군사학논총 Vol.2 No.2

The hereditary system led by Kim Jeong-eun is still unstable in North Korea and because of its instability, there is possibility of sudden transitions. Politically, loss of its power can bring about a struggle for supremacy. Also, riots and refugees will increase due to an economic crisis. The purpose of this paper is to promote a better understanding on North Korean defectors`` actual condition and find effective ways to collaborate with them strategically when North Korea undergoes sudden changes. North Korean defectors hold a special position since they are naturalized into the Republic of Korea according to the municipal law, but they belong to North Korea under the international law. It is necessary to encourage North Korean defectors to play an important role in Civil-Military operations using their strength and advantage in furnishing information on geographical features or major facilities in North Korea, securing support from North Koreans, and contributing suggestions on various policies. In this paper, the ways of using North Korean defectors are suggested in consideration of different situations. In ordinary circumstances, North Korean defectors can perform as special reserve forces, form an organization in liaison with North Korean administrative district, or engage in activities related to civil affairs. Once a sudden transition takes place in North Korea, they can collaborate strategically in various ways such as: supporting military operations, assisting administrative affairs, or obtaining international cooperation.

북한의 급변사태 시나리오 2 : 재스민혁명 국가들의 사례분석을 중심으로

이대성 한국융합보안학회 2017 융합보안 논문지 Vol.17 No.4

남유럽에서 시작된 민주화라는 물결은 남아메리카와 아시아로 확산되었고, 구소련과 동유럽을 붕괴시켰으며, 북아프리카와 중동지역 국가들에 재스민혁명이라는 모습으로 나타났다. 이로 인하여 다수의 학자들은 재스민혁명이 북한에도발생할 가능성이 있다는 조심스러운 전망을 하면서, 북한 급변사태와 관련된 연구들을 활발히 하여왔다. 이러한 연구의주제들은 급변사태의 발생원인과 시기, 그리고 주도세력 등에 초점이 맞추어졌고, 그 전개과정이 어떻게 될 것인가와 체제변화가 있을 것인가에 대한 논의는 부족하였다. 이에 본 연구에서는 재스민혁명 국가들의 체제변화를 분석한 결과에근거하여, 북한 급변사태 이후에 전개 가능한 시나리오를 Ⅰ유형 비교적 평화롭게 정권이 교체될 가능성, Ⅱ유형 분단된국가에서 통일된 이후에 다시 내전이 발생할 가능성, Ⅲ유형 정권이 교체된 이후에 김일성가계의 누군가가 재집권할 가능성, Ⅳ유형 정권교체는 성공하였지만 내전이 발생할 가능성, Ⅴ유형 정권교체도 실패하고 내전이 지속적으로 발생할가능성으로 분류하였다. The wave of democratization that started in southern Europe spread to South America and Asia, dismantling the Soviet Union and Eastern European countries and appeared as a Jasmine revolution in countries of North Africa and the Middle East. As a result, many scholars have actively carried out researches related to the sudden change of North Korea, while taking a cautious view that the Jasmine Revolution might occur in North Korea. The focuses of the studies were on the cause and timing of the sudden change and the main forces of the revolution in North Korea. There weren’t enough discussions on how the process will be developed and whether there will be a system change. In this study, based on the results of analyzing the systematic changes of the Jasmine revolution nations, it suggested five scenarios that can be developed after the sudden change of North Korea. Scenario type Ⅰ: Relatively peaceful and the possibility of regime change, Scenario type Ⅱ: Reunification and then civil war, Scenario type Ⅲ: Regime changed but one of Kim Il Sung family grabbing the power, Scenario type IV: Successful regime change but civil war happening, Scenario type V: Regime change failed and civil war continuing.

The impact of artificial discrete simulation of wind field on vehicle running performance

Mengxue Wu,Yongle Li,Ning Chen 한국풍공학회 2015 Wind and Structures, An International Journal (WAS Vol.20 No.2

To investigate the effects of “sudden change” of wind fluctuations on vehicle runningperformance, which is caused by the artificial discrete simulation of wind field, a three-dimensional vehiclemodel is set up with multi-body dynamics theory and the vehicle dynamic responses in crosswind conditionsare obtained in time domain. Based on Hilbert Huang Transform, the effects of simulation separations ontime-frequency characteristics of wind field are discussed. In addition, the probability density distribution of“sudden change” of wind fluctuations is displayed, addressing the effects of simulation separation, meanwind speed and vehicle speed on the “sudden change” of wind fluctuations. The “sudden change” of vehicledynamic responses, which is due to the discontinuity of wind fluctuations on moving vehicle, is alsoanalyzed. With Principal Component Analysis, the comprehensive evaluation of vehicle runningperformance in crosswind conditions at different simulation separations of wind field is investigated. Theresults demonstrate that the artificial discrete simulation of wind field often causes “sudden change” in thewind fluctuations and the corresponding vehicle dynamic responses are noticeably affected. It provides atheoretical foundation for the choice of a suitable simulation separation of wind field in engineeringapplication.

The impact of artificial discrete simulation of wind field on vehicle running performance

Wu, Mengxue,Li, Yongle,Chen, Ning Techno-Press 2015 Wind and Structures, An International Journal (WAS Vol.20 No.2

To investigate the effects of "sudden change" of wind fluctuations on vehicle running performance, which is caused by the artificial discrete simulation of wind field, a three-dimensional vehicle model is set up with multi-body dynamics theory and the vehicle dynamic responses in crosswind conditions are obtained in time domain. Based on Hilbert Huang Transform, the effects of simulation separations on time-frequency characteristics of wind field are discussed. In addition, the probability density distribution of "sudden change" of wind fluctuations is displayed, addressing the effects of simulation separation, mean wind speed and vehicle speed on the "sudden change" of wind fluctuations. The "sudden change" of vehicle dynamic responses, which is due to the discontinuity of wind fluctuations on moving vehicle, is also analyzed. With Principal Component Analysis, the comprehensive evaluation of vehicle running performance in crosswind conditions at different simulation separations of wind field is investigated. The results demonstrate that the artificial discrete simulation of wind field often causes "sudden change" in the wind fluctuations and the corresponding vehicle dynamic responses are noticeably affected. It provides a theoretical foundation for the choice of a suitable simulation separation of wind field in engineering application.