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The Time-Series Study of Housing Price Index of Shanghai.doc
The Time-Series Study of Housing Price Index of Shanghai
Wu Gongliang and Long Fenjie
Tsinghua University
Email: wugongliang@
The Time-Series Study of Housing Price Index of Shanghai
ABSTRACT
The paper analyzes the monthly housing price index of Shanghai from Juan 1999 to Oct 2003 by the ARCH models based on the ADL models to better explain the short-term price volatility. Compared with some traditional time-series forecasting methods, ARCH models are better at analyzing and forecasting the volatility and trend of the index, which provide an efficient approach for us to comprehend the market movements.
Key words：housing price index; volatility; ARCH
Introduction
Since 1999, with the gradual opening-up process of the housing market and the tax-cut policy, the housing prices of most Chinese cities began to rise significantly. As we all know, the generally statistical reflection of the housing price of certain areas is the housing price index, similar to the stock index, which shows the transaction price movement of the homogeneous houses in certain region monthly or quarterly. Similarly, we can analyze the housing price index to examine the performance of the housing market just like the stock price index to some extent.
The econometric analyses of the stock index have been numerous ever since the emerging of the stock market. MA model and Exponential Smoothing method combined with seasonal adjustments are the most wildly used and simple forecasting methods of the stock index; non-parametric techniques are good at fitting the curve, but limited in the forecasting process; recent years, thought Fuzzy Neural Networks are used to fit and forecast the large samples which give us a very good result, they are actually not the econometric models, but technical methods. They can’t properly explain the causal relations of various economic factors [1].
There are many applications based on the ADL models. Unfortunately, they can not explain the conditional hoteroske
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