caa a22 4500 445316608 CHVBK 20180317142649.0 cr unu---uuuuu 170323e20110401xx s 000 0 eng 10.1007/s11146-009-9204-0 doi (NATIONALLICENCE)springer-10.1007/s11146-009-9204-0 Miles William Department of Economics, Wichita State University, 1845 Fairmount, 67260-0078, Wichita, KS, USA aut Long-Range Dependence in U.S. Home Price Volatility [Elektronische Daten] [William Miles] The existence of GARCH effects in a financial price series means that the probability of large losses is much higher than standard mean-variance analysis suggests. Accordingly, several recent papers have investigated whether GARCH effects exist in the U.S. housing market, as changes in house prices can have far-ranging impacts on defaults, foreclosures, tax revenues and the values of mortgage-backed securities. Some research in finance indicates that the conditional variance of some assets exhibits far greater persistence, or even "long memory”, than is accounted for in standard GARCH models. If house prices do indeed have this very persistent volatility, properly estimating the conditional variance to allow for such persistence is crucial for optimal portfolio management. We examine a number of U.S. metropolitan areas, and find that, for those with significant GARCH effects, more than half indeed exhibit the very high persistence found in other assets such as equities. We also find that, for those markets exhibiting such persistent volatility, C-GARCH models typically do a better job in forecasting than standard GARCH models. Moreover, there is some tentative evidence that metro areas with the fastest appreciation may be most likely to have such long memory conditional variance. These findings should help in improving risk management, through, for instance the construction of better-specified value-at-risk models. Springer Science+Business Media, LLC, 2009 House prices nationallicence GARCH nationallicence Long memory nationallicence Volatility nationallicence The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 42/3(2011-04-01), 329-347 0895-5638 42:3<329 2011 42 11146 https://doi.org/10.1007/s11146-009-9204-0 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11146-009-9204-0 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Miles William Department of Economics, Wichita State University, 1845 Fairmount, 67260-0078, Wichita, KS, USA aut NATIONALLICENCE 773 0- The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 42/3(2011-04-01), 329-347 0895-5638 42:3<329 2011 42 11146 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer