Show simple item record

dc.contributor.authorMiles, William
dc.date.accessioned2017-04-27T16:28:23Z
dc.date.available2017-04-27T16:28:23Z
dc.date.issued2011-04
dc.identifier.citationMiles, William. 2011. Long-range dependence in U.S. home price volatility. Journal of Real Estate Finance and Economics, vol. 42:no. 3:pp 329-347
dc.identifier.issn0895-5638
dc.identifier.otherWOS:000288801100004
dc.identifier.urihttp://dx.doi.org/10.1007/s11146-009-9204-0
dc.identifier.urihttp://hdl.handle.net/10057/13025
dc.descriptionClick on the DOI link to access the article (may not be free)
dc.description.abstractThe existence of GARCH effects in a financial price series means that the probability of large losses is much higher than standard mean-variance analysis suggests. Accordingly, several recent papers have investigated whether GARCH effects exist in the U.S. housing market, as changes in house prices can have far-ranging impacts on defaults, foreclosures, tax revenues and the values of mortgage-backed securities. Some research in finance indicates that the conditional variance of some assets exhibits far greater persistence, or even "long memory", than is accounted for in standard GARCH models. If house prices do indeed have this very persistent volatility, properly estimating the conditional variance to allow for such persistence is crucial for optimal portfolio management. We examine a number of U.S. metropolitan areas, and find that, for those with significant GARCH effects, more than half indeed exhibit the very high persistence found in other assets such as equities. We also find that, for those markets exhibiting such persistent volatility, C-GARCH models typically do a better job in forecasting than standard GARCH models. Moreover, there is some tentative evidence that metro areas with the fastest appreciation may be most likely to have such long memory conditional variance. These findings should help in improving risk management, through, for instance the construction of better-specified value-at-risk models.
dc.language.isoen_US
dc.publisherSpringer
dc.relation.ispartofseriesJournal of Real Estate Finance and Economics;v.42:no.3
dc.subjectHouse prices
dc.subjectGARCH
dc.subjectLong memory
dc.titleLong-range dependence in U.S. home price volatility
dc.typeArticle
dc.rights.holderCopyright 2017 Springer International Publishing AG.


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record