인문학
사회과학
자연과학
공학
의약학
농수해양학
예술체육학
복합학
DBpia AI
AI 에이전트
AI 아이디어
AI 리더
AI 뷰어
Citeasy
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지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
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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.
#아파트매매가격
#아파트전세가격
#변동성
#전이효과
#GARCH ahgud
#Apartment Sales Prices
#Trade Apartment Rental Price
#Volatility
#Spillover Effect
#GARCH Model
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목차
- Abstract
- Ⅰ. 서론
- Ⅱ. 이론적 고찰
- Ⅲ. 분석방법
- Ⅳ. 주택가격의 변동성 및 전이효과 실증분석
- Ⅴ. 결론 및 시사점
- 인용문헌
참고문헌
참고문헌 신청최근 본 자료
UCI(KEPA) : I410-ECN-0101-2014-539-000198837
