Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions

49 Pages Posted: 15 Jun 2013 Last revised: 16 Nov 2013

See all articles by Tim Bollerslev

Tim Bollerslev

Duke University - Finance; Duke University - Department of Economics; National Bureau of Economic Research (NBER)

Andrew J. Patton

Duke University - Department of Economics

Wang Wenjing

Duke University

Date Written: June 11, 2013

Abstract

We construct daily house price indexes for ten major U.S. 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 procedure used in the construction of the popular monthly Case-Shiller house price indexes. Our new daily house price indexes exhibit similar characteristics to other daily asset prices, with mild autocorrelation and strong conditional heteroskedasticity, which are well described by a relatively simple multivariate GARCH type model. The sample and model-implied correlations across house price index returns are low at the daily frequency, but rise monotonically with the return horizon, and are all commensurate with existing empirical evidence for the existing monthly and quarterly house price series. A simple model of daily house price index returns produces forecasts of monthly house price changes that are superior to various alternative forecast procedures based on lower frequency data, underscoring the informational advantages of our new more finely sampled daily price series.

Keywords: real estate, price indices, repeat sales index, high frequency data

JEL Classification: C43, C22, R30

Suggested Citation

Bollerslev, Tim and Patton, Andrew J. and Wenjing, Wang, Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions (June 11, 2013). Economic Research Initiatives at Duke (ERID) Working Paper No. 166. Available at SSRN: https://ssrn.com/abstract=2277812 or http://dx.doi.org/10.2139/ssrn.2277812

Tim Bollerslev

Duke University - Finance ( email )

Durham, NC 27708-0120
United States
919-660-1846 (Phone)
919-684-8974 (Fax)

Duke University - Department of Economics

213 Social Sciences Building
Box 90097
Durham, NC 27708-0204
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Andrew J. Patton (Contact Author)

Duke University - Department of Economics ( email )

213 Social Sciences Building
Box 90097
Durham, NC 27708-0204
United States

HOME PAGE: http://econ.duke.edu/~ap172/

Wang Wenjing

Duke University ( email )

100 Fuqua Drive
Durham, NC 27708-0204
United States

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