Lee, Chien-Chiang; Chen, Kuo-Shing; Shyu, David So-De - In: International Journal of Financial Research 6 (2015) 2, pp. 84-94
The main determination of mortgage risk factors is undoubtedly related to the housing price. In this article, we employ threshold GARCH process in practical analysis, to capture the house price dynamic on the logarithm return. This study also estimates the housing price volatility in the...