基于GARCH族模型的上海市住宅市场价格波动的特征研究

住房问题是关系国计民生的重要问题，研究住宅市场的价格波动规律对消费者购买时机选择、调控政策的制定等具有重要的参考价值。鉴于此，以住宅市场收益率的变化来衡量住宅市场价格的波动，采用2006-2016年上海市新建住宅和二手房月度收益率时间序列作为样本，通过构建GARCH族模型对上海市新建住宅和二手房市场的价格波动特征进行研究。研究表明：上海市新建住宅市场的价格波动存在显著的自相关现象，但不存在显著的集聚性、非对称性以及高风险高回报的特征；二手房市场的价格波动存在显著的自相关现象，具有显著的集聚性，即二手房市场本期或过去若干期的波动较大时，未来几期的波动也会很大，反之亦然；二手房市场价格的波动不存在显著的非对称性及高风险高回报的特征。

Study on the Characteristics of Price Fluctuation of Shanghai Residential Market Based on the GARCH Model

The housing problem is an important problem of relationship between national economy and people''s livelihood, the research on the rules of price fluctuation in the housing market for consumers to choose the opportunity to purchase and making regulation policy, which has important reference value. In view of this, this study measure the fluctuation of price based on the return changes in the housing market yield and use the monthly return time sequence of new residential and second-hand houses in Shanghai as a sample from 2006 to 2016. Then we analysis the rules of price fluctuation in new residential and second-hand houses in Shanghai by building a group of GARCH model. Research shows that: the price fluctuation of the new residential market in Shanghai has significant autocorrelation, but there is no obvious agglomeration, asymmetry, and high return characteristics because of high risk. The price fluctuation of the second-hand housing market has a significant self-correlation phenomenon and has obvious clustering. In other word, the volatility of the next few periods will also be large if the price fluctuation of the past few periods is greater, and vice versa. Again there is no obvious asymmetry and high return characteristics because of high risk in the second-hand housing market.