The Research On The Dynamic Correlation Between Housing Enterprises In My Country Based On DCC-GARCH Model

In recent years,China’s real estate industry has developed rapidly and has become the foundation and pillar industry of China’s economy.With this,there are more and more real estate companies,and house prices have been rising continuously.In order to regulate the real estate market and promote the healthy,sustainable and stable development of the real estate market,the state has issued a series of macro-control policies for the real estate market.Studying the correlation between real estate companies under different regulatory policies is conducive to investors to make reasonable asset allocation and obtain higher returns,and is more conducive to the upgrading and transformation of real estate companies,transforming business methods,strengthening the ability of real estate companies to resist risks,adapting The real estate market is constantly changing.This paper takes the stock index returns of two types of real estate enterprises,state-owned enterprises and private enterprises as the research object,combined with China’s real estate regulation and control policies in the past decade,using the DCC-GARCH model to analyze the dynamic correlation between different types of real estate enterprises in China.The structure of this paper is as follows: Chapter 1introduces the background of this article,the significance of research,the literature review of real estate and the content and structure of the thesis.The second chapter introduces the background,form,estimation steps of DCC-GARCH model and literature review related to DCC-GARCH model.The third chapter studies the dynamic correlation of China’s real estate enterprises based on the DCC-GARCH model,and selects sixteen state-owned enterprises and private enterprises of two typesof real estate enterprises’ stock index return sample sequence for empirical analysis.Firstly,perform descriptive analysis,normality,stationarity,autocorrelation and ARCH effect test on the sample sequence,and determine the order of the mean equation according to the ACF graph and PACF graph,followed by the normal distribution,t distribution and generalization in the error distribution Under the error GED distribution,six GARCH models of GARCH,IGARCH,GARCH-M,TGARCH,EGARCH,and PGARCH are used to model the stock index returns of two types of real estate companies,and different models are established according to AIC and other information criteria.For comparison,select the optimal univariate GARCH model.Both autocorrelation and ARCH tests show that the residual sequence no longer has autocorrelation and heteroscedasticity.Then,through the selected univariate GARCH model,a standardized residual sequence is obtained,and the DCC-GARCH model is established to analyze the dynamic correlation between the two types of real estate enterprises under the real estate regulation policy of China in the past decade,and finally passes the Granger causality test The linkage between the two types of real estate companies.The results of the study show that the stock index returns of state-owned real estate companies and those of private real estate companies are volatile and clustering,and the impact of volatility is continuous,which may increase risk.The stock index returns of private real estate companies are more volatile;There is a high correlation between the two.When the regulation policy is relatively loose,the correlation coefficient is relatively large.When the regulation policy is relatively tight,the correlation coefficient is relatively small,and the correlation coefficient between the two has a time-varying characteristic,2017 Before the year,the correlation fluctuation of state-owned enterprise real estate enterprises and private enterprise real estate enterprises fluctuated greatly,but after 2017,the correlation coefficient between the two fluctuated,The amplitude becomes slower.Moreover,the linkage between state-owned real estate enterprises and private real estate enterprises is a two-way transmission process.Based on the above research results,this article proposes the following three suggestions:(1)The government continues to adhere to the macro-control policy of "no housing and no speculation".(2)Real estate state-owned enterprises and real estate private enterprises learn from each other and cooperate with each other,complementing each other’s advantages.(3)Investors make reasonable asset allocation.