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題名 Modelling House Price Volatility in the United Kingdom by Switching ARCH Models
作者 蔡怡純;陳明吉
Tsai, I-Chun ; Chen, Ming-Chi ; Ma, Tai
貢獻者 財管系
日期 2010
上傳時間 17-Nov-2014 10:53:10 (UTC+8)
摘要 This article analyses investment risk in the housing market by examining volatility properties of house prices for the UK. We use both ARCH and GARCH models to estimate price conditional heteroscedasticity and find evidence of a time-varying property in the volatilities of the house price series. We then use the SWARCH model and find there are three volatility states in the price series. Our estimations suggest the UK housing markets are relatively stable and different states do not switch very often. The magnitude of high price volatility is as high as 20.99 times of the low volatility for the older housing market and 14 times of the low volatility for the new housing market. In addition, the older housing market is less efficient than the new housing market, since the impacts of events on the volatility state of the older house prices is more lasting than in new housing market.
關聯 Applied Economics, 42(9), 1145-1153
資料類型 article
dc.contributor 財管系en_US
dc.creator (作者) 蔡怡純;陳明吉zh_TW
dc.creator (作者) Tsai, I-Chun ; Chen, Ming-Chi ; Ma, Taien_US
dc.date (日期) 2010en_US
dc.date.accessioned 17-Nov-2014 10:53:10 (UTC+8)-
dc.date.available 17-Nov-2014 10:53:10 (UTC+8)-
dc.date.issued (上傳時間) 17-Nov-2014 10:53:10 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/71503-
dc.description.abstract (摘要) This article analyses investment risk in the housing market by examining volatility properties of house prices for the UK. We use both ARCH and GARCH models to estimate price conditional heteroscedasticity and find evidence of a time-varying property in the volatilities of the house price series. We then use the SWARCH model and find there are three volatility states in the price series. Our estimations suggest the UK housing markets are relatively stable and different states do not switch very often. The magnitude of high price volatility is as high as 20.99 times of the low volatility for the older housing market and 14 times of the low volatility for the new housing market. In addition, the older housing market is less efficient than the new housing market, since the impacts of events on the volatility state of the older house prices is more lasting than in new housing market.en_US
dc.format.extent 187113 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Applied Economics, 42(9), 1145-1153en_US
dc.title (題名) Modelling House Price Volatility in the United Kingdom by Switching ARCH Modelsen_US
dc.type (資料類型) articleen