IDEAS home Printed from https://ideas.repec.org/a/icf/icfjae/v08y2008i1p26-38.html
   My bibliography  Save this article

Modeling Volatility in California Real Estate Prices

Author

Listed:
  • Prakash L Dheeriya

Abstract

Generalized Autoregressive Conditional Heteroskedasticity (GARCH) effects have been studied extensively in portfolio management within risk-return framework. Very few studies, however, have applied principles underlying GARCH processes to house prices and fewer have undertaken studies at the local level. Earlier GARCH studies in housing markets have focused on aggregate effects across markets or taken a macro-oriented approach. This paper estimates and develops GARCH models for each major county in California, allowing for different effects in each. Unlike previous GARCH studies, this paper employs dollar denominated house prices instead of indices to measure returns. The results indicate that there are GARCH effects in four counties in Northern California and at the state level.

Suggested Citation

  • Prakash L Dheeriya, 2009. "Modeling Volatility in California Real Estate Prices," The IUP Journal of Applied Economics, IUP Publications, vol. 0(1), pages 26-38, January.
    • Handle: RePEc:icf:icfjae:v:08:y:2008:i:1:p:26-38
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    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:icf:icfjae:v:08:y:2008:i:1:p:26-38. 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: G R K Murty (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.