Exploring Housing Price Volatility Based on ADL- GARCH Model-Empirical Study of Hong Kong
This paper analyzes the time-varying volatility of housing price with the case of Hung Kong (from January 1993 to December 2008) using the ADL-GARCH model. The stability of housing market is a crucial factor to the overall economy and the welfare of society as well as the mortgage market. During the last decades, however, the tremendous rise in housing price has made the housing market become increasingly volatile. On the other hand, rental price is widely employed to calculate the fundamental value of housing price, which is becoming increasingly fluctuant as well. Hence estimation of the volatility turns to be much more important and difficult when we study housing price mechanism. In this paper, we introduce rental as an independent variable to explain the movement of housing price and estimate volatility during the sample period. This study presents (i) a more efficient and precise measure to comprehend of price movements, (ii) estimate the conditional volatilities and (iii) reduce heteroskedasticity problem of housing market. Furthermore, we identify three fluctuated periods which are corresponding to some external shocks of political and economic events.
Housing price rental price volatility ADL-GARCH Hong Kong
Hui Eddie Chi Man Zheng Xian
Department of Building and Real Estate, the Hong Kong Polytechnic University
国际会议
南京
英文
1168-1174
2009-10-29（万方平台首次上网日期，不代表论文的发表时间）