Volatility transmission in U.K. housing: a multivariate GARCH approach
Miles, William
Miles, William
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2010
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Article
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Keywords
GARCH,Home prices - United Kingdom
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Citation
William Miles. 2010. Volatility Transmission in U.K. Housing: A Multivariate GARCH Approach. Journal of Real Estate Portfolio Management: 2010, Vol. 16, No. 3, pp. 241-248
Abstract
Despite its importance for gauging the probability of large losses and portfolio management, there has not been an investigation of how GARCH conditional volatility is transmitted between regions in the United Kingdom. This is an omission, as assets exhibiting GARCH have a much higher probability of large losses during high volatility periods than standard mean-variance analysis indicates. The findings indicate that there is a high conditional covariance between shocks of adjoining regions, and that the conditional covariance declines markedly as distance between regions increases. This suggests some scope for diversification benefits by holding a geographically varied set of housing assets.
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American Real Estate Society
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Journal of Real Estate Portfolio Management;v.16:no.3
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0896-5803