VOLATILITY DECOMPOSITION OF AUSTRALIAN HOUSING PRICES
||Lee, Chyi Lin; Reed, Richard
||VOLATILITY DECOMPOSITION OF AUSTRALIAN HOUSING PRICES
||17th Annual European Real Estate Society Conference in Milan, Italy
||This study examines volatility patterns in Australian housing prices. This is undertaken by decomposing the conditional volatility of housing prices into a “permanent” component and a “transitory” component via a Component-Generalised Autoregressive Conditional Heteoskedasticity (CGARCH) model. The results demonstrate that the shock impact on the short-run component (transitory) is much larger than the long-run component (permanent), whereas the persistence of transitory shocks is much less than permanent shocks. Moreover, the permanent and transitory volatilities have different determinants. The results give important insights into the volatility patterns of housing prices.
||Housing prices, permanent and transitory volatilities, Component-GARCH, Australia
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||Housing Economics (2)
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