The role of news in the fluctuations of housing price


Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

The main purpose of this paper is to evaluate the impact of the news on the housing price volatility in Iran. To do so, symmetric and asymmetric models such as GARCH, T-ARCH, EGARCH and APGARCH are applied by using annual data for the period 1971–2013. The empirical results confirm the asymmetric and leverage effects of news in Iran housing market. Also the impact of shocks indicates that negative news affect the housing price fluctuations further more than positive news with the same size.

view full abstract hide full abstract
    • Figure 1. The asymmetric effect of the news on fluctuations
    • Figure 2. Distribution of DLHP time series
    • Figure 3. Q-Q for disturbing components of selected models of dissimilar conditioned estimated variance
    • Figure 4. Actual and estimated values and disruption components in EGARCH model
    • Table 1. Different models of ARCH family in APGARCH model with implied constraints
    • Table 2. Stationary test of housing price index
    • Table 3. Statistical features of DLHP time series
    • Table 4. ARCH-LM test for DLHP
    • Table 5. Estimation results of news effects models
    • Table 6. Wald test to recognize IGARCH
    • Table 7. News effects curve