A study on the volatility forecast of the US housing market in the 2008 crisis

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

7 Scopus Citations
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  • Kui-Wai Li

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Original languageEnglish
Pages (from-to)1869-1880
Journal / PublicationApplied Financial Economics
Issue number22
Publication statusPublished - Nov 2012


This article provides the in-sample estimation and evaluates the out-of-sample conditional mean and volatility forecast performance of the conventional Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) and the benchmark RiskMetrics model on the US real estate finance data for the pre-crisis and post-crisis periods in 2008. The empirical results show that the RiskMetrics model performed satisfactorily in the in-sample estimation but poorly in the out-of-sample forecast. For the post-crisis out-of-sample forecasts, all models naturally performed poorly in conditional mean and volatility forecast. © 2012 Copyright Taylor and Francis Group, LLC.

Research Area(s)

  • financial crisis, US real estate finance, volatility forecast