Research on the Volatility Characteristics of Real Estate Segment Price Indez in Chinas Stock Market with GARCH Models

摘要：

Real estate market segment is an important section in stock market. It is very helpful in market regulation and investment decision to analyze the laws and characteristics of variation of real estate segment price index. In this paper the principle of GARCH family models is introduced. Then the volatility of real estate segment price index is analyzed with the GARCH, TARCH, EGARCH models. The data consists of Shenzhen and Shanghai stock market close price index from Oct 8, 2003 to May 28, 2009. The GARCH family models are constructed to reveal the dynamic characteristics of the real estate segment price index in stock market. The comparison analysis among volatility characteristics of the real estate segment price index, the Shanghai Composite Index, the Shenzhen composition index are taken..

关键词： volatility real estate segment price indez GARCH

作者: LI Weidong

作者单位: School of Economics & Management, Beijing Jiaotong University, Beijing, China 100044

会议类型: 国际会议

会议名称: 2009 International Conference on Construction & Real Estate Management(2009建设与房地产管理国际会议)

会议地点: 北京

会议语种:英文

页码: 1022-1025

在线出版日期: 2009-11-05（万方平台首次上网日期，不代表论文的发表时间）