管理学报
管理學報
관이학보
Chinese JOurnal of Management
2010年
6期
943~948
,共null页
住房价格 波动聚集性 时序分析 GARCH模型 短期预测
住房價格 波動聚集性 時序分析 GARCH模型 短期預測
주방개격 파동취집성 시서분석 GARCH모형 단기예측
housing price; volatility clustering; time serial analysis; GARCH model; short-term forecast
相对于传统的均值-方差分析,ARCH效应的存在将会使投资者在短期内面临更大的风险。有效地捕捉住房价格ARCH效应对研究住房价格短期走势有重要的实践意义。将长短2个时段样本运用回归模型、GARCH模型、AR模型对中国住房均价及四大直辖市数据进行实证,结果表明：在2个时段上我国住房价格均存在ARCH效应,除重庆外其他3个直辖市也存在ARCH效应;此外,在短时段的预测上,回归模型略优于GARCH模型,而GARCH模型在长时段预测效果上要优于回归模型。可见,在相关数据难找的情况下,GARCH模型是切实可行的短期预测方法。
相對于傳統的均值-方差分析,ARCH效應的存在將會使投資者在短期內麵臨更大的風險。有效地捕捉住房價格ARCH效應對研究住房價格短期走勢有重要的實踐意義。將長短2箇時段樣本運用迴歸模型、GARCH模型、AR模型對中國住房均價及四大直轄市數據進行實證,結果錶明：在2箇時段上我國住房價格均存在ARCH效應,除重慶外其他3箇直轄市也存在ARCH效應;此外,在短時段的預測上,迴歸模型略優于GARCH模型,而GARCH模型在長時段預測效果上要優于迴歸模型。可見,在相關數據難找的情況下,GARCH模型是切實可行的短期預測方法。
상대우전통적균치-방차분석,ARCH효응적존재장회사투자자재단기내면림경대적풍험。유효지포착주방개격ARCH효응대연구주방개격단기주세유중요적실천의의。장장단2개시단양본운용회귀모형、GARCH모형、AR모형대중국주방균개급사대직할시수거진행실증,결과표명：재2개시단상아국주방개격균존재ARCH효응,제중경외기타3개직할시야존재ARCH효응;차외,재단시단적예측상,회귀모형략우우GARCH모형,이GARCH모형재장시단예측효과상요우우회귀모형。가견,재상관수거난조적정황하,GARCH모형시절실가행적단기예측방법。
Autoregressive conditional heteroscedasticity（ARCH） effects make the probability of large losses greater than standard mean-variance analysis for investor in short-term.Capturing ARCH effects accurately is meaningful for the research of short-term trend of housing price.This paper empirically research and compare the regressive model,GARCH model and AR model with the data of average housing price in China and four municipalities＇ housing price.The results show the ARCH effects in housing markets in Beijing,Shanghai,Tianjin except Chongqing.We also found out that the regressive model is a little better than GARCH model for short-time forecast while the GARCH model is better in long-term forecast.Therefore,if it is hard to obtain relative data,GARCH model is more applicable.
