Research On The Long-term Memory Of Commodity Housing Price Volatility Based On The FIGARCH Model

Reviewing Chinese real estate market over the past decade, commodity housing price presented a significant volatility phenomenon due to domestic and foreign macroeconomic factors as well as domestic intensive regulatory policies. In addition, there were strong time variation and clustering in prices, which probably similar to the volatility aggregation and spillover feature sin stock market. In the stock prices market, long memory, one of the important characteristics, reflects the continuing impact of external shocks. Assuming commodity housing price volatility has a long-term memory like the stock price, it suggests a crucial result that financial variables based on historical information can be predicted. Therefore, testing the existence of long-term memory in Chinese real estate market is extremely valuable.This paper studies the recognition and application of long-term memory by analyzing current researches of commodity housing price volatility at home and aboard. Based on the FIGARCH model, the monthly data of Zhengzhou from January 2004 to May 2014 were chosen to test whether there exists a long-term memory volatility characteristics of housing price. To be exact, determining whether time series appears clustering and the characteristic of obvious peak and fat tail at first; then examining the long-term memory feature of commodity housing price volatility by using ADF and KPSS; in the end, forecasting prices on the base of long-term memory feature and testing its accuracy. The research results indicate that the price fluctuation of Zhengzhou commodity homes exist effect of cluster and long-term memory characteristic. FIGARCH model can capture the long memory well, and can predict the future price of commodity residential house for a period of time. Therefore, FIGARCH model can well catch long-term memory and forecast the commodity housing price in the future period of time, which illustrates that external shocks have long-standing impact on the volatility of commodity housing price as well, reaching the conclusion that long-effect Mechanism of regulation and control should be set and developed during the macro-control of the government.This paper was expected to provide references for central and local governments as well as experts and scholars in commodity housing price fluctuation and macroeconomic controls by an in-depth study of application of long-term memory in describing commodity housing price volatility. Meanwhile, it is hoped that this article can further enrich the contents of real estate price fluctuation theory.