Li, Kui-Wai (2011): A study on the volatility forecast of the US housing market in the 2008 crisis. Published in: Applied Financial Economics , Vol. 22, No. 22 (2012): pp. 1869-1880.
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This article provides the in-sample estimation and evaluates the out of-sample conditional mean and volatility forecast performance of the conventional Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) and the benchmark RiskMetrics model on the US real estate finance data for the pre-crisis and post-crisis periods in 2008. The empirical results show that the RiskMetrics model performed satisfactorily in the in-sample estimation but poorly in the out-of-sample forecast. For the post-crisis out-of-sample forecasts, all models naturally performed poorly in conditional mean and volatility forecast.
|Item Type:||MPRA Paper|
|Original Title:||A study on the volatility forecast of the US housing market in the 2008 crisis|
|Keywords:||financial crisis; volatility forecast; US real estate finance|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
G - Financial Economics > G1 - General Financial Markets > G18 - Government Policy and Regulation
L - Industrial Organization > L8 - Industry Studies: Services > L85 - Real Estate Services
R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R2 - Household Analysis > R21 - Housing Demand
|Depositing User:||Kui-Wai Li|
|Date Deposited:||05. Sep 2012 13:56|
|Last Modified:||11. Feb 2013 17:35|
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