Research on the Long-Term Memory of Commodity Housing Price Volatility Based on the FIGARCH Model

Abstract:

The purpose of this paper is to test whether there exists a long-term memory volatility characteristics of housing price. The paper based on the data ranging of Zhengzhou from January 2004 to May 2014, by adopting the FIGARCH model, empirically studies and analysis this characteristics. The research results indicate that the price fluctuation of Zhengzhou commodity homes exist effect of cluster and long-term memory characteristic. FIGARCH model can capture the long memory well, and can predict the future price of commodity residential house for a period of time .Therefore, FIGARCH model can well catch long-term memory and forecast the commodity housing price in the future period of time, which illustrates that external shocks have long-standing impact on the volatility of commodity housing price as well, reaching the conclusion that long-effect Mechanism of regulation and control should be set and developed during the macro-control of the government.

• Periodical: Advanced Materials Research (Volumes 1079-1080)
• Pages: 1194-1198
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.1079-1080.1194
• Online since: December 2014
• Authors: Feng Lan, Bao Hua Chen
• Keywords: Cluster Effect, Commodity Residential House Price, FIGARCH, Long-Term Memory

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