Real Estate Income Volatility Dynamic E-var Model And Measure

Real estate is the essential life and production material to human survival, and it plays a very important role in the national economy. Once the real estate market appears major fluctuations, the whole economy will bring great influence, and even cause social unrest. Financial crisis in history are mostly caused by the collapse of real estate market. This world financial crisis is also due to the real estate prices dropped sharply and then the subprime mortgage crisis. Therefore, investing real estate must have to research the real estate market's price and the price fluctuations, which is effective for managing the risk of real estate investment.In order to manage the real estate market risk much more better, the most important one is to find an accurate and reliable measure econometric model. Real estate direct investment and indirect investment as the main types of real estate investment, their corresponding market price fluctuations is relative to their returns and risks. Therefore, for most existing risk measure method without considering the loss of small probability and the extreme events, this paper uses extreme-value-theory (EVT) and value-at-risk (VaR) to structure a dynamic risk measurement model based on the representative price data of the two market. Due to the real estate market have the typical facts of the correlation, the fluctuations gathering, the leverage effect, this paper based on these typical event, combined with the ARMA (1,1) and GARCH (1,1)/GJR(1,1) model to construct standard residual sequence with the characteristics of independent identically distribution. The paper choosed the biggest 10% value of the standard residual sequence, used EVT to construct model, and combined random process to measure out the dynamic extremum VaR, and then used back-testing method to test the accuracy of the dynamic E-VaR risk measurement model.Through empirical research, the test results shows that the dynamic E-VaR market risk measurement method can measure out the real estate market risk of indirect investment effectively, but cannot measure out the risk of direct investment market effectively. As to direct investment market, the common condition N-GARCH model is much more applicable. This conclusion will provide an empirical basis for risk managers to measure real estate market risks accurately in the model selection. Finally, this paper summarized the research idea and conclusions, analyzed the shortcomings of this paper's study, and then proposed the further research direction based on the current research situation.