Volatility Clustering in U.S. Home Prices

William Miles ()
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William Miles: Wichita State University Wichita, KS 67260-0078

Journal of Real Estate Research, 2008, vol. 30, issue 1, pages 73-90

Abstract: Generalized autoregressive conditional heteroscedasticity (GARCH) effects imply the probability of large losses is greater than standard mean-variance analysis suggests. Accurately capturing GARCH for housing markets is vital for portfolio management. Previous investigations of GARCH in housing have focused on narrow regions or aggregated effects of GARCH across markets, imposing one nationwide effect. This paper tests fifty state housing markets for GARCH, and develops individual GARCH models for those states, allowing for different effects in each. Results indicate there are GARCH effects in over half the states, and the signs and magnitudes vary widely, highlighting the importance of estimating separate GARCH models for each market.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 2008

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