TITLE:
Empirical Analysis of Commercial Housing Sales Based on EARCH(1,1) Model
AUTHORS:
Shichang Shen, Chao Feng
KEYWORDS:
Sales Volume of Commercial Housing, ARMA Model, EARCH Model, Leverage Effect
JOURNAL NAME:
Open Journal of Statistics,
Vol.9 No.2,
April
28,
2019
ABSTRACT: Since the 1980s, China’s commercial housing market has shown an unprecedented
rapid development, and the commercial houses still has a high price. This paper
studies the sales rate of commercial housing sales to find an appropriate
model, and it analyzes the volatility of the commercial housing market to
describe the sustainable development of the commercial housing market. By
selecting month data of China’s commercial housing sales from January 2006 to
October 2018, this paper uses EViews7.2 and the ARMA Model as the tool in order
to establish EARCH(1,1) through the method of quantitative analysis. It is
found that the yield of commercial housing sales has obvious cluster, asymmetry
and leverage effect, and the impact of adverse news on the commercial housing market
is more significant than the impact of favorable news.