What influences real estate volatility in Hong Kong? An ARMA-GARCH approach

Purpose This paper aims to examine real estate price volatility in Hong Kong. Monthly data on housing, offices, retail and factories Kong were analyzed from February 1993 2019 test whether clusters are present the market. Real determinants also investigated. Design/methodology/approach Autoregressive conditional heteroscedasticity–Lagrange multiplier is used clustering effects these four kinds of estate. An autoregressive moving average model–generalized auto regressive heteroskedasticity (GARCH) model was identify Findings There all Determinants vary among different types In general, housing influenced primarily by foreign exchange rate (both RMB USD), whereas commercial largely unemployment. The results exponential GARCH show that there no asymmetric Research limitations/implications pattern has important implications for investors policymakers. Residential have determinants; may benefit this when building a portfolio. analysis limited lack determinants. Originality/value To best authors’ knowledge, first study evaluates market using class model. Also, investigate