KJCKorea
Journal Central

@article{ART002265074},
author={Young-Jin Jang and Hong Min-Goo},
title={Application of Volatility Models in Region-specific House Price Forecasting},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2017},
volume={27},
number={3},
pages={41-50}

TY - JOUR
AU - Young-Jin Jang
AU - Hong Min-Goo
TI - Application of Volatility Models in Region-specific House Price Forecasting
JO - Korea Real Estate Review
PY - 2017
VL - 27
IS - 3
PB - korea real estate research institute
SP - 41
EP - 50
SN - 2092-5395
AB - Previous studies, especially that by Lee (2014), showed how time series volatility models can be applied to the house price series. As the regional housing market trends, however, have shown significant differences of late, analysis with national data may have limited practical implications. This study applied volatility models in analyzing and forecasting regional house prices. The estimation of the AR(1)-ARCH(1), AR(1)-GARCH(1,1), and AR(1)-EGARCH(1,1,1) models confirmed the ARCH and/or GARCH effects in the regional house price series. The RMSEs of out-of-sample forecasts were then compared to identify the best-fitting model for each region. The monthly rates of house price changes in the second half of 2017 were then presented as an example of how the results of this study can be applied in practice.
KW - volatility model;forecast;house price;ARCH;GARCH;EGARCH
DO -
UR -
ER -

Young-Jin Jang and Hong Min-Goo. (2017). Application of Volatility Models in Region-specific House Price Forecasting. Korea Real Estate Review, 27(3), 41-50.

Young-Jin Jang and Hong Min-Goo. 2017, "Application of Volatility Models in Region-specific House Price Forecasting", Korea Real Estate Review, vol.27, no.3 pp.41-50.

Young-Jin Jang, Hong Min-Goo "Application of Volatility Models in Region-specific House Price Forecasting" Korea Real Estate Review 27.3 pp.41-50 (2017) : 41.

Young-Jin Jang, Hong Min-Goo. Application of Volatility Models in Region-specific House Price Forecasting. 2017; 27(3), 41-50.

Young-Jin Jang and Hong Min-Goo. "Application of Volatility Models in Region-specific House Price Forecasting" Korea Real Estate Review 27, no.3 (2017) : 41-50.

Young-Jin Jang; Hong Min-Goo. Application of Volatility Models in Region-specific House Price Forecasting. Korea Real Estate Review, 27(3), 41-50.

Young-Jin Jang; Hong Min-Goo. Application of Volatility Models in Region-specific House Price Forecasting. Korea Real Estate Review. 2017; 27(3) 41-50.

Young-Jin Jang, Hong Min-Goo. Application of Volatility Models in Region-specific House Price Forecasting. 2017; 27(3), 41-50.

Young-Jin Jang and Hong Min-Goo. "Application of Volatility Models in Region-specific House Price Forecasting" Korea Real Estate Review 27, no.3 (2017) : 41-50.