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Spatial Autoregressive Conditional Heteroscedasticity Model And Its Application

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  • TAKAKI SATO
  • YASUMASA MATSUDA

Abstract

This paper proposes spatial autoregressive conditional heteroscedasticity (S-ARCH) models to estimate spatial volatility in spatial data. S-ARCH model is a spatial extension of time series ARCH model. S-ARCH models specify conditional variances as the variances given the values of surrounding observations in spatial data, which is regarded as a spatial extension of time series ARCH models that specify conditional variances as the variances given the values of past observations. We consider parameter estimation for S-ARCH models by maximum likelihood method and propose test statistics for ARCH effects in spatial data. We demonstrate the empirical properties by simulation studies and real data analysis of land price data in Tokyo.

Suggested Citation

  • Takaki Sato & Yasumasa Matsuda, 2016. "Spatial Autoregressive Conditional Heteroscedasticity Model And Its Application," DSSR Discussion Papers 59, Graduate School of Economics and Management, Tohoku University.
    • Handle: RePEc:toh:dssraa:59
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    File URL: http://hdl.handle.net/10097/65034
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