Trends and Volatility: Measuring the Housing Market Using the GARCH Model

Location

CSU 253/4

Start Date

21-4-2008 8:00 AM

End Date

21-4-2008 10:00 AM

Student's Major

Economics

Student's College

Social and Behavioral Sciences

Mentor's Name

Kwang Woo (Ken) Park

Mentor's Department

Economics

Mentor's College

Social and Behavioral Sciences

Description

The current housing market in the United States has never been more unstable. Since 2000, home prices have soared far above their long-term trend. As with all market goods, however, their prices must eventually return to normal. This paper examined volatility in the housing market across the United States by using the GARCH Model that allowed for both autoregressive and moving average components in the heteroskedastic variance. To do so, the Case-Shiller index data sets (Ql 1987-Q4 2007) was used for conducting this research. The empirical findings enable econometricians to estimate the variance of the series index at a particular point in time. Thus, allowing individuals to better predict future housing market pricing behavior.

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Apr 21st, 8:00 AM Apr 21st, 10:00 AM

Trends and Volatility: Measuring the Housing Market Using the GARCH Model

CSU 253/4

The current housing market in the United States has never been more unstable. Since 2000, home prices have soared far above their long-term trend. As with all market goods, however, their prices must eventually return to normal. This paper examined volatility in the housing market across the United States by using the GARCH Model that allowed for both autoregressive and moving average components in the heteroskedastic variance. To do so, the Case-Shiller index data sets (Ql 1987-Q4 2007) was used for conducting this research. The empirical findings enable econometricians to estimate the variance of the series index at a particular point in time. Thus, allowing individuals to better predict future housing market pricing behavior.

Recommended Citation

Euerle, Jonathon. "Trends and Volatility: Measuring the Housing Market Using the GARCH Model." Undergraduate Research Symposium, Mankato, MN, April 21, 2008.
https://cornerstone.lib.mnsu.edu/urs/2008/oral-session-03/2