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

Tamas Kiss, Hoang Nguyen and Pär Österholm

No 2020:13, Working Papers from Örebro University, School of Business

Abstract: In this paper, we analyse the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigate 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 ranging from January 1954 to September 2019, the properties of the models are assessed both within- and out-of-sample. We find 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; Density forecasts; Probability integral transform (search for similar items in EconPapers)
JEL-codes: C22 C52 E44 E47 G17 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2020-10-29
New Economics Papers: this item is included in nep-ets, nep-for, nep-mac, nep-ore and nep-ure
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Journal Article: Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:oruesi:2020_013

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