Housing Price Volatility and its Determinants

  title={Housing Price Volatility and its Determinants},
  author={Chyi Lin Lee},
Many studies have been sought to understand the volatility patterns of real estate, whereas the study of housing price volatility is relatively little. This study aims to examine the determinants of housing price volatility for 8 capital cities in Australia. This study utilises quarterly data of 8 capital cities in Australia from 1987:Q4 to 2007:Q4. An Exponential-Generalised Autoregressive Conditional Heteoskedasticity (EGARCH) model is employed to analyse the volatility series of housing… CONTINUE READING

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