Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails

Tamas Kiss, Hoang Nguyen and Pär Österholm

JRFM, 2021, vol. 14, issue 11, 1-17

Abstract: In this paper, we analysed the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data from January 1954 to September 2019, the properties of the models were assessed both within- and out-of-sample. We found strong evidence in favour of modelling both GARCH effects and non-Gaussianity. Accounting for these properties improves within-sample performance as well as point and density forecasts.

Keywords: non-Gaussianity; GARCH; probability integral transform; Kullback–Leibler information criterion (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
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Working Paper: Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails (2020)
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