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

Publication ,  Journal Article
Bollerslev, T; Patton, AJ; Wenjing, W
Published in: Economic Research Initiatives at Duke (ERID)
June 11, 2013

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.

Duke Scholars

Published In

Economic Research Initiatives at Duke (ERID)

Publication Date

June 11, 2013

Issue

166

Related Subject Headings

  • Econometrics
  • 1403 Econometrics
  • 1402 Applied Economics
 

Citation

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Bollerslev, T., Patton, A. J., & Wenjing, W. (2013). Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions. Economic Research Initiatives at Duke (ERID), (166).
Bollerslev, T., A. J. Patton, and W. Wenjing. “Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.” Economic Research Initiatives at Duke (ERID), no. 166 (June 11, 2013).
Bollerslev T, Patton AJ, Wenjing W. Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions. Economic Research Initiatives at Duke (ERID). 2013 Jun 11;(166).
Bollerslev, T., et al. “Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions.” Economic Research Initiatives at Duke (ERID), no. 166, June 2013.
Bollerslev T, Patton AJ, Wenjing W. Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions. Economic Research Initiatives at Duke (ERID). 2013 Jun 11;(166).

Published In

Economic Research Initiatives at Duke (ERID)

Publication Date

June 11, 2013

Issue

166

Related Subject Headings

  • Econometrics
  • 1403 Econometrics
  • 1402 Applied Economics