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DCC-GARCH Statistical Model for Real Estate Markets Fluctuations

Z. J. Zong, X. B. Wu, B. W. Chen


By using the DCC-GARCH model proposed by Engle, this study looks into the integration of major Asian real estate markets by examining the volatility characteristics of two less developed real estate markets: Hong Kong and Singapore, and their time varying correlation with the other two dominant markets: Japan and the US. The results indicate that the real estate markets are not integrated internationally to the same extent as the stock markets, and the regional impacts dominate the international counterparts, which mean the investors can hardly lower their risk by diversifying their portfolio in regional markets.


Public real estate market, Volatility, Asia, DCC-GARCH model

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