A study on the volatility forecast of the US housing market in the 2008 crisis

Kui-Wai Li ()

MPRA Paper from University Library of Munich, Germany

Abstract: This article provides the in-sample estimation and evaluates the out of-sample conditional mean and volatility forecast performance of the conventional Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) and the benchmark RiskMetrics model on the US real estate finance data for the pre-crisis and post-crisis periods in 2008. The empirical results show that the RiskMetrics model performed satisfactorily in the in-sample estimation but poorly in the out-of-sample forecast. For the post-crisis out-of-sample forecasts, all models naturally performed poorly in conditional mean and volatility forecast.

Keywords: financial crisis; volatility forecast; US real estate finance (search for similar items in EconPapers)
JEL-codes: C53 G18 L85 R21 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Applied Financial Economics 22.22(2012): pp. 1869-1880

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/41033/1/MPRA_paper_41033.pdf original version (application/pdf)

Related works:
Journal Article: A study on the volatility forecast of the US housing market in the 2008 crisis (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41033

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().