Clustering in U.K. Home Price Volatility

Abstract

In the wake of the 2007–09 global financial crisis, there has been heightened interest in correctly gauging the probability of large losses on assets, particularly house prices. If an asset exhibits GARCH effects in its returns, there is a much higher probability of large losses during volatile periods than standard mean-variance analysis indicates. While there has been much research on regional home prices in the United Kingdom, the focus has been on the conditional mean and convergence rather than on the possibility of GARCH effects and volatility clustering. The findings of this study reveal that the majority of U.K. regions indeed exhibit GARCH effects, and these GARCH effects have heterogeneous impacts on returns across regions. The existence of these GARCH effects in the majority of the U.K. regions has many important implications, ranging from proper portfolio management to government policy.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 20 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.