A study on the volatility forecast of the US housing market in the 2008 crisis
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41033.
Date of creation: 2011
Date of revision:
Publication status: Published in Applied Financial Economics 22.22(2012): pp. 1869-1880
financial crisis; volatility forecast; US real estate finance;
Other versions of this item:
- Kui-Wai Li, 2012. "A study on the volatility forecast of the US housing market in the 2008 crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 22(22), pages 1869-1880, November.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
- R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
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