Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions
Abstract
We construct daily house price indexes for ten major U.S. metropolitan areas. Our
calculations are based on a comprehensive database of several million residential
property transactions and a standard repeat-sales method that closely mimics the procedure
used in the construction of the popular monthly Case-Shiller house price indexes.
Our new daily house price indexes exhibit similar characteristics to other daily asset
prices, with mild autocorrelation and strong conditional heteroskedasticity, which
are well described by a relatively simple multivariate GARCH type model. The sample
and model-implied correlations across house price index returns are low at the daily
frequency, but rise monotonically with the return horizon, and are all commensurate
with existing empirical evidence for the existing monthly and quarterly house price
series. A simple model of daily house price index returns produces forecasts of monthly
house price changes that are superior to various alternative forecast procedures based
on lower frequency data, underscoring the informational advantages of our new more
finely sampled daily price series.
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Tim Bollerslev
Juanita and Clifton Kreps Professor of Economics, in Trinity College of Arts and Sciences
Professor Bollerslev conducts research in the areas of time-series econometrics, financial
econometrics, and empirical asset pricing finance. He is particularly well known
for his developments of econometric models and procedures for analyzing and forecasting
financial market volatility. Much of Bollerslev’s recent research has focused on
the analysis of newly available high-frequency intraday, or tick-by-tick, financial
data and so-called realized volatility measures, macroeconomic news annou
Andrew J. Patton
Zelter Family Professor
Patton’s research interests lie in financial econometrics, with an emphasis on forecasting
volatility and dependence, forecast evaluation methods, and the analysis of hedge
funds and mutual funds. His research has appeared in a variety of academic journals,
including the Journal of Finance, Journal of Econometrics, Journal of Financial Economics,
Journal of the American Statistical Association, Review of Financial Studies, and
the Journal of Business and Economic Statistics. He has gi
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