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Housing Price & Mortgage Rate

Housing Price & Mortgage Rate

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Housing Price & Mortgage Rate

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  1. Housing Price & Mortgage Rate Bilge Imer Chih Hua Chen Hunjung Kim Melissa Manfredonia Yongyang Yu

  2. Data • USA and California housing price index (Source: Office of Federal Enterprise Oversight) • 30-yrs mortgage rate (Source: St. Louis Fed Economic Data) - Data Range : Jan. 1975 to April. 2005 - Quarterly Data

  3. Housing Price of USA & CA

  4. 30 Mortgage Rate

  5. Housing Price vs. Mortgage Rate

  6. CAHP: California Housing PriceIndex

  7. Histogram of CAHP

  8. Correlogram of CAPH

  9. Unit Root Test on CAHP

  10. CAHP vs. LNCAHP

  11. Line Graph of DLNCAHP

  12. Histogram of DLNCAHP

  13. Correlogram of DLNCAHP

  14. Unit Root Test on DLNCAHP

  15. Line Graph of DDLNCAHP

  16. Histogram of DDLNCAHP

  17. Correlogram of DDLNCAHP

  18. Unit Root Test on DDLNCAHP

  19. ARTWO Model

  20. Diagnosis forARTWO

  21. Histogram of Residuals

  22. Correlogram of Residuals

  23. Serial Correlation Test

  24. Forecast / DDlncahpf sef, 2006:01 2006:04

  25. Line Graph of DDLNCAHPF with Forecast 2006:01 2006:04

  26. Line Graph of CAHPF with Forecast 2006:01 2006:04

  27. residsq=resid*resid (resid from ARTWO)

  28. Histogram of RESIDSQ

  29. Correlogram of Residuals Squared

  30. ARCH Test

  31. GARCH(1,0)

  32. Diagnosis of GARCH(1, 0)

  33. Correlogram of Standardized Residuals

  34. Correlogram of Standardized Residuals Squared

  35. Correlogram of Standardized Residuals

  36. ARCH Test

  37. GARCH(1,1)

  38. Diagnosis for GARCH(1, 1)

  39. Correlogram of Standardized Residuals

  40. Correlogram of Standardized Squared

  41. Histogram of Standardized Residuals

  42. ARCH Test

  43. Forecast of GARCH(1,0)

  44. Forecast of DDLNCAHPF

  45. Line Graph of DDLNCAHPF with Forecast 2006:01 2006:04

  46. Line Graph of CAHPF with Forecast 2006:01 2006:04

  47. Comparison of ARTWO & GARCH(1,0)

  48. Comparison of ARTWO & GARCH(1,1)

  49. CA OR US HOUSING PRICES CA OR US HOUSING PRICES MORTGAGE RATE MORTGAGE RATE ? ? CA OR US HOUSING PRICES CA OR US HOUSING PRICES MORTGAGE RATE MORTGAGE RATE ? ? INTERACTION BETWEEN HOUSING PRICES AND MORTGAGE RATES

  50. LINE GRAPHS RAW SERIES MODELED SERIES