IDEAS home Printed from https://ideas.repec.org/a/ibf/gjbres/v7y2013i3p1-14.html
   My bibliography  Save this article

Forecasting Real Estate Business: Empirical Evidence From The Canadian Market

Author

Listed:
  • Vijay Kumar Vishwakarma

Abstract

In this paper, we compare the out-of-sample forecasting ability of three ARIMA family models: ARIMA, ARIMAX, and ARIMAX-GARCH. The models are tested to forecast turning points and trends in the Canadian real estate index using monthly data from April 2002 to March 2011. The results indicate that the ARIMAX model, which includes exogenous macroeconomic variables such as the gross domestic product, the consumer price index, the difference in long-term and short-term interest rates, and the exchange rate of the Canadian dollar against the US dollar and their lags, provides the best out-ofsample forecasts. Overall, the models are suitable only for short-term forecasts.

Suggested Citation

  • Vijay Kumar Vishwakarma, 2013. "Forecasting Real Estate Business: Empirical Evidence From The Canadian Market," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 7(3), pages 1-14.
    • Handle: RePEc:ibf:gjbres:v:7:y:2013:i:3:p:1-14
    as

    Download full text from publisher

    File URL: http://www.theibfr2.com/RePEc/ibf/gjbres/gjbr-v7n3-2013/GJBR-V7N3-2013-1.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Real Estate; Financial Crisis; Canada; ARIMAX; GARCH;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location
    • G01 - Financial Economics - - General - - - Financial Crises
    • O51 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibf:gjbres:v:7:y:2013:i:3:p:1-14. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mercedes Jalbert (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.