Modelling returns in US housing prices: You're the one for me, fat tails
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 Jan...
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| Published in | Journal of risk and financial management Vol. 14; no. 11; pp. 1 - 17 |
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| Main Authors | , , |
| Format | Journal Article |
| Language | English |
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2021
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| 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. |
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| AbstractList | 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. |
| Author | Österholm, Pär Nguyen, Hoang Kiss, Tamás |
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| SubjectTerms | Collateral Consumption Economic crisis Equilibrium Error correction & detection GARCH Households Housing Housing prices International finance Kullback-Leibler information criterion Kurtosis Macroeconomics non-Gaussianity Normal distribution probability integral transform Propensity to consume Skewness Stochastic models Variables Volatility |
| Title | Modelling returns in US housing prices: You're the one for me, fat tails |
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