인문학
사회과학
자연과학
공학
의약학
농수해양학
예술체육학
복합학
DBpia AI
AI 에이전트
AI 아이디어
AI 리더
AI 뷰어
Citeasy
크롬 서지관리 다운로드
개인구독
소속 기관이 없으신 경우, 개인 정기구독을 하시면 저렴하게
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지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록·키워드
Accurately capturing volatility spillover effects among local apartment housing markets is vital for both real estate investments and policy-making. Therefore, we estimate GARCH and EGARCH models to analyze time-varying volatility and volatility spillover effects within Korean apartment housing market, based on the monthly data sets that cover 9 local markets(Seoul, Seoul Metropolitan Area, and 6 Large cities) in KB apartment housing price indices from January 2000 to December 2011. After then, most suitable mean and variance equations to estimate the conditional heteroscedasticity volatilities of the returns of house prices are selected.
The main empirical findings are as follows. Firstly, Korean apartment housing market shows the evidence of ARCH and GARCH effects in 9 local markets. The estimation results from EGARCH model reveal that, unlike apartment rental markets, asymmetric effects are applied to most apartment sales markets. Secondly, when we estimate volatility spillover effects based on EGARCH model, volatility spillover effects existed among 9 local markets within Korean apartment housing market.
The main empirical findings are as follows. Firstly, Korean apartment housing market shows the evidence of ARCH and GARCH effects in 9 local markets. The estimation results from EGARCH model reveal that, unlike apartment rental markets, asymmetric effects are applied to most apartment sales markets. Secondly, when we estimate volatility spillover effects based on EGARCH model, volatility spillover effects existed among 9 local markets within Korean apartment housing market.
본문·목차
인공지능 문자 인식 모델을 통해 추출된 텍스트로, 일부 오타나 오류가 포함될 수 있으나 지속적으로 개선 중입니다.
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오류를 발견하셨다면 해당 부분을 드래그한 후 ' 를 통해 신고해주세요.
최근 본 자료 전체보기
UCI(KEPA) : I410-ECN-0101-2014-539-000198837
