Daily House Price Indices: Construction, Modeling, and Longer-run Predictions

Tim Bollerslev, Andrew J. Patton, Wenjing Wang

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Abstract

We construct daily house price indices for 10 major US metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the methodology of the popular monthly Case–Shiller house price indices. Our new daily house price indices exhibit dynamic features similar to those of other daily asset prices, with mild autocorrelation and strong conditional heteroskedasticity of the corresponding daily returns. A relatively simple multivariate time series model for the daily house price index returns, explicitly allowing for commonalities across cities and GARCH effects, produces forecasts of longer-run monthly house price changes that are superior to various alternative forecast procedures based on lower-frequency data.

Original languageEnglish
JournalJournal of Applied Econometrics
Volume31
Issue6
Pages (from-to)1005–1025
Number of pages21
ISSN0883-7252
DOIs
Publication statusPublished - 2016

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